When you say it's gone, does it not have any thumbnail or is it set to the previous one?
It could be that your browser is caching the old thumbnail still. Have you tried viewing it in another browser (e.g. if you normally use Chrome, trying it in Edge or Internet Explorer) or using Incognito/Private Browsing to see if the new thumbnail shows up then?
The thumbnail goes back to the old one. Ironically, when I opened it in a new web browser (Safari), the video thumbnail was updated on one video (Building a Property Wide Profile), but had reverted back to a previous thumbnail on another video (ADL Status Form). I'm attaching screen shots.