Roku players only support a limited number of video/audio formats. There's no way around that and Roku has shown very little interest in changing that or supporting people who wish to view their own content (there's no money in that). You might want to look into Plex which can be set up to run on a computer and transcode any video into a format Roku devices support and has it's own Roku channel/app. Otherwise you'll have to do it yourself and put them back on that hard drive.
If you want to stay with the USB drive then you'll have to create the thumbnails yourself. Name the image the same as the video except for the extension (e.g., "my video.mp4" and "my video.jpg") and they should show up. I'm no expert on using RMP.