Ok i'll try to use a more comprehensive approach.

Well i have been there and here are my findings, initially windows and alot of platforms makes the thumbnail first frame in the video, so if you manage to edit that frame to something using a video editing program this becomes your thumbnail, this is why you probably do not see one because 50% of the time the first frame is a black frame, however sadly microsoft managed to give the right of picking the preview thumbnail to default program that opens it and then it stopped becoming exact science, some programs believe its a waste of resources to display a thumb, others do it from first frame after 1 second of play, others believe 20% into video is the best frame etc, so this isnt really youtube, it depends on whatever you set as a default player for that specific video format, in all cases however i suggest this player and codec pack, the player gui is still xp style but yet the features are very powerful and yet one of those that generate a thumb 20% into the video.

Change mp4 thumbnail windows 10