Do you know if the imdb page for the movie with missing cover has a cover?
There are some bugs in the film grabber that I will fix for the next version. For example, the correct replacement of underscore chars (_).

If you could give me an example of a movie that doesn't work and/or suggest a site that could work better that would be great.

Right now I think imdb is the most complete site for this.

There is also another program that works automatically and does practically the same:
imdb-thumbnailer
It works better with thunar since thunar doesn't move/rename the thumbnail along with the movie. It is the one I'm using now.