Are you on Windows? If so you may try mp3tag to see if the mp3 you have includes embedded album arts. Also, be sure every mp3 file has artist and album title metadata filled, they are needed to find the album art.

To delete a playlist, tap and hold on it and pick "Delete playlist", than wait few seconds till it gets removed from list. If it doesn't disappear it may means that tracker is not correctly removing it, it may be bacause of your number of tracks (tracker is a system process, it's not related to Sigma Player). If playlist is still there, you can manually remove it, it can be found in /home/user/MyDocs/Music using a file manager, or from Music when you connect the N9 to pc to use mass storage mode.

About adding playlist, which name have you named it?
Putting a space in the name does not work, I'll fix in next version as well.