Usually there is no need to save the artwork to the file system as by default it is stored in the music files themselves but if you require to save artwork to the file system you can enable this option and decide if existing artwork can be overwritten or not
Save Artwork to File system looks at what is now stored in the song after the embedded metadata changes have been made. So if Save artwork embedded within in song file is set to Always Replace and Save Artwork to File system is set to Yes, overwrite existing files then both metadata and file system will have the same newly found artwork data. Whereas if Save Artwork embedded within song file is set to Never and Save artwork to File system is set to Yes, overwrite existing files then the embedded artwork metadata will not be modified and the file system will save whatever is currently embedded in the file. If nothing is embedded in the file then nothing will be saved to the file system.
So what you cannot do is find new artwork and only save it to the file system without saving as embedded data within the file itself.