That sounds like a codec problem, or possibly because there is no registered thumbnail handler for those video files (which show up without a thumbnail). Are all the extensions .avi?
Depending on the codec used for the video files (I'm guessing Xvid), you should be able to register a thumbnail handler, because it looks like that's what DVD maker is using to get thumbnails, which is strange, because it can interpret the video just fine, so it could make one on it's own.
I'm not really sure if that's the problem, but there's more info on how to fix thumbnail issues
here.