You need to ensure that your current Photos.app database is set as the default system photo database. Follow the instructions on this page: https://support.apple.com/en-us/HT204414
This happens when your photos are stored outside Photos.app. Go into Photo.app’s preferences, and in the “General” section, ensure the box “Copy items to the Photos library” is checked. At the current time, only files that are imported into Photos.app’s library are able to have their thumbnail displayed.