To kind of expand on Karellen, in the video database the "movie" table contains data that is scraped or imported. That table includes entries for "thumb" (now called poster) and "fanart". Since it is scraped, the intent is that it is a remote url to the image. (actually, can be multiple images for each type.) This part of the database is what's exported as<thumb> and <fanart> elements, and is imported from the nfo. Same thing for actor thumb. (disclaimer: I don't use universal scraper and it might find additional art-types than just poster and fanart these days.)
There's another table "art" and this is where the actual assignment of a specific image (either local or remote) to a specific art-type for a movie (or any other video content) is stored. This table data is exported as the <art> element but is not imported. Note that in addition to "assigned" art, Kodi can do a frame grab from the video as "thumb".
A different database (textures) provides the linkage between the video art table and the thumbnail cache version of the image. The cached version is what's exported and should contain the images as found in the exported <art> element.
You could manually edit the exported nfo files to put your local image into the <thumb> or <fanart> elements, but I don't recommend this as Kodi should select your local image (assuming it's named correctly) during a scan without editing your nfo. That way you have the option of using the online art in the future.
You can check out artwork beef addon as an alternative that can download remote art directly without converting it to a Kodi thumbnail cached image first. There's also various media managers supported on Kodi forum that can do this and maybe give you more control over the process.
scott s.
.
