OK, so for the edit: This is dependent on your few things:
- active/accessible internet connection
- zune music pass must offer music from this artist in order to have some pictures of it/him/her
- artist must be accessible for your country (yes again the same problem) - not all artist are accessible in all countries... :(
But there may be some other things that affect artist background accessibility...
Unfortunately, this feature depends on the country where you live in. It depends on availability of music marketplace, which is not available in all countries. If you are one of those unhappy users, you must get used to that orange-purple screen which is rendered instead of artist image.
But if you are lucky and you have access to the music marketplace and you still don't see artist image instead of wallpaper when playing music, go to the settings -> lock+wallpaper and switch on the show artist when playing music checkbox.
If you want to check music marketplace (called Zune Pass, if I am not mistaken) availability for your country, go to the zune.net page and choose to change locale (use this link). If you compare US version of the zune.net page and yours, you may see there's something missing.
You can see the difference between US and CZ version of the page on images below:
The US version offers Zune Music Pass:
The CZ version offers only the software:
I also found this ugly chart, where the data seems to be also right.