Is there any way to have created FX chains show up in the Pro Channel drop-down list with thumbnails? I know we have the FX chain plugin option in the drop-down list and we can load our presets from there, but it would be nice to have my presets with a thumbnail right in the list so I can load them right from the the Pro Channel strip.

I don't think you can do it the way you are wanting to do it, but, you can save the prochannel strip as a preset with your different fx chains in them.