Did you do any renames? I found that if you rename a model that is a component within an assembly and it is not open in its own window, it will not get a preview thumbnail. For the model to get a preview, it needs to be visible at the time of save. If you open up any of those models without a preview, then save it by clicking the Save diskette, it should get a preview again in Windows Explorer.
I'm trying to find another way to accomplish this. It's really a performance hit to open each model into its own window when doing a mass rename of a big assembly and its components.