From my VAR:
I have some good news and bad news for you….
The bad news is that what you are seeing is a documented software bug. After doing some testing and digging, I was able to reproduce the issue within 2015 SP2.1 and determined that this is related to existing SPR #839522. Unfortunately, there is not a current workaround.
The good news is that SOLIDWORKS has already implemented a fix for this bug in 2015 SP3, which is due for release next week. I tested the functionality within the preview build of SP03 and can verify that the preview/thumbnail images do work properly within both SW Explorer and the WPDM add-in searches.