I've got 3 of the 'unknown artists' as well, and one unknown album for my badges.
When I went on my zune.net profile, a few well known artists in my collection (Muse, Biffy Clyro, Fightstar) didn't have pictures either, but I scrolled across and Muse and Fightstar actually appear again, but properly. Biffy Clyro just has the one, empty place. So I don't know if these unknown artists are actually clones of other artists that we have badges for.
Another couple things;
I have 3 unkown artists, and 3 blank pictures.
My Zune software says I have 36 badges, but zune.net says 35 because it doesn't have that unknown album.
If you try to press the 'learn more' link on zune.net on these pictureless artists, it doesn't work.
Maybe these artists are being changed in some way on the server so that it seems like a different artist to the Zune software? And I've just listened to Muse and Fightstar enough to re-earn them? Just a thought. No idea why the name comes up on zune.net but not in the software though.