Artwork in movie directory does not go to the Jellyfin media directory?

[TheDreadPirate]

Does that mean that this files are not copied to the Jellyfin folder like the files from the online scrapers?

They are not.  Additionally, there is a performance penalty since the images scraped and stored in the jellyfin data directory are usually on SSDs in most setups.  Using images stored with your media, typically HDDs, will result in images loading in slower than the rest of the UI elements.