It's on the Moving Pictures Importer tab (in configuration). You can then find the button "Data sources" to view settings for movie details, backdrops and coverart.
Now I see btw why it doesn't work. You also have to set the option (in section Local Provider) "Search Movie folder for cover art" to true. This is on the Advanced Settings tab in the Moving Pictures configuration screen.
So, yes, the order is there by default, you will have to change the settings though to make them active.
this is just for MovingPictures re-using any available coverart|backdrop in either the coverart|backdrop folder, or on a per movie folder available folder.jpg,<moviename>.jpg or similar.
This is not a MediaPortal setting I'm referring to.
But this screen: