How familiar are you with Dune? I am not a Dune user but I did find that each of your movie titles need to be their own dedicated folder singularly.
One title per folder, and the associated artwork for that title should be in the same folder. Likewise, I have not tried to create a Dune catalog, either. I am assuming that if each of your titles are in their own folders and are designated this way in the "Location" of your AllMyMovies database, then you should be able to create the Dune catalog complete with images.
Whew! I am too lazy for this sort of dedicated work which is why I chose to use Universal Media Server (UMS) to stream my movies to my home theater. Of course, it does not display nice thumbnails for my titles because I did not set up the individual folders for that feature. But, I can watch anything that happens to be in the shared folders. A Panasonic BluRay player is connected to my TV and I use it to connect to the UMS on my PC.