Anderton
Are you looking at projects that have been saved? SONAR creates the thumbnail when you close the project (and presumably, save it). As it says in the eZine: "The thumbnail is a snapshot of the project’s state when it was closed..."
The eZine is correct, but, only if you have the main Sonar window open on what Windows considers the First (main) display monitor.
I keep the main Sonar window on the second Display (upper) and float mixer and PRV down to the first/main screen (lower). That is dictated by the dual vertical monitor stand that places one display on top of the other. This allows the desk audio monitors to be within 1 meter spacing to ensure phantom center remains present.
Not that my setup matters to anyone else but the fact remains that if the Main Sonar Window is Not on what Windows considers the First display the snapshot will Not show up.