Why can't one add artwork to music saved as a wave file
It's the way WAV file formats were designed years ago by Microsoft. It's not just itunes that can't add artwork to the actual file; no jukebox player software can add artwork tags to WAV files.
If you want artwork to display in itunes for WAV files, you can get the artwork from the itunes store if
1) you have an itunes store account
2) that album is sold is your country's itunes store
itunes will store the artwork in some special folders outside of the WAV files, and use the itunes database file (ITL file extension) to find them as needed.
For albums not in the itunes store, you have to do something like this