I, too, am interested in this feature, and found this request in a Duck Duck Go search. My suggestion is that any folder with videos can have a user-generated sub-folder named "TH", and Roku could search for a thumbnail in jpg format that matches the name of the video's filename. (Or, either jpg or PNG with jpg having the higher priority.)
An optional feature could be a menu option for a title that lets Roku auto-create a thumbnail for videos, and the app would create the TH folder and a screenshot for the thumbnail. But I think that user-control over the files is paramount.
I would love this feature, which would make my thousands of video files so much more easier to browse.
It would even make browsing audio files easier.
Please consider such a feature in a future update to Roku Media Player.