Audacity has no standard field for “Album Artist” and exports all non-standard fiekls as TXXX user-specified frames: Missing features - Audacity Support.
I don’t know where exactly you are looking in Windows Media Player but generally Windows does not see TXXX frames at all (for example in the file properties).
Audacity’s standard “Artist” field is misread as “Contributing Artist” in Explorer’s file properties, leaving the “Album Artist” field blank, which I regard as a Windows error not Audacity’s: Losing Audio Tag information upon exporting - #2 by Gale_Andrews .
The solution is to use a better media player (or better shell integration tool for looking at properties in Explorer) or to use a more standards-compliant tag editor.