I'm using Sharepoint 2013 and had a similar issue, no thumbnail was displayed. I found that there was a .png file missing. Try editing the properties and make a new thumbnail (see final picture below). Otherwise, read this whole post to troubleshoot the issue.
To troubleshoot this, open the Video Library using Windows Explorer.
If I show you pictures it's helpful I think. Here is the Video Library on the left, on the right is the Windows Explorer view.
Note the Additional Content folder - it contains a file called snapshot, a .png image. So if the .png file is missing in your equivalent folder, no thumbnail will show.
The thumbnail is the .png file, taken from the first frame of the video.
If I try uploading a new video I see this screen. I didn't save it though, since I'd be uploading in to a live system. I think the thumbnail should be saved automatically.
If I edit properties of an existing video, if gives the option to make a new thumbnail: