The "Insert from URL" option was added to the Image block in gutenberg#40334.

The Cover and Media & Text blocks use nested Image blocks as children to support adding Images. Currently, these nested Image blocks do not support the "Insert from URL" option. The Cover and Media & Text blocks can be updated to support Insert from URL from an Image block.

(Note: The Cover and Media & Text blocks allow for both Images and Videos to be added. The Video block does not yet support Insert from URL as an option, but an issue has already been created here: gutenberg-mobile#4646.)