I'm not sure but I think it has to do with which template tag your using in your loop. If your using
Code:
<?php the_excerpt(); ?>
then it wouldn't display a thumb as that either takes what you've put in the excerpt area on your write page or, by default, 55 words. Either way I think it ignores any HTML.
I think what you want to use is
which would be inserted into your post.
I'm not sure cause I've never tried it so in case I'm wrong
here is where I got my information from