Are you using a firewall program other then what came with Vista? It's possible that it's blocking the games folder from getting information over the internet.
As you can see from my picture, Oblivion does download box art, even Master of Orion 2 has box art and that games old.
Dues Ex doesn't but I've concluded that it's because it's the European release with the 1.2 patch pre-installed. I came to that conclusion because Heroes of Might and Magic V vanished for 3 days after I installed patches.
As for all those casual games, I just dragged their shortcut into the folder, you don't get any info on them except the last time you played them.
And don't believe the product version number, only one of my games shows the correct one.