Actually this may not be the case. I was doing some testing recently where I happened to have 32-bit codecs for a video format I was using, but did not have 64-bit codecs. Media player could play the file, but explorer could not thumbnail them. Media player is 32-bit, whereas explorer is 64-bit. After installing 64-bit codecs, the explorer thumbnails worked.

This would suggest that the thumbnailing is not done by media player.