THIS IS THE FIX
This appears to be a bug in the Blender installer, but the fix is fairly simple.
Open the Windows icon in the bottom left corner of your computer display and search for “command prompt”
Right click on the result and select “run as administrator.”
There will be a small window with a black background and a blinking cursor.
Type “chdir c:\program files\blender foundation\blender” and press Enter (chdir is the command for changing directories with the command prompt)
You should now be at that directory.
Type “blender -R” and press enter. You should receive a message indicating that the registration has been successful.
Close any Windows Explorer windows and then open Windows Explorer again.
Navigate to a directory that has your blend files and you should now see thumbnails for all of your blend files. If there some blend files that don’t have thumbnails, it’s probably an old file before the thumbnails were added. Just open and save it again and you should see the thumbnail.
I’m not sure why Blender Foundation hasn’t fixed this instalation problem by now. I’m wondering if you have to install blender as an administrator to get it to regiser the thumbnail dll.
Anyway, until it gets fixed, you will likely have to register as described above with every new installation.