I like the way that usually these typical "issues/bugs" in regards to thumbnails have been simply a flaw that was initially intended to be for convenience. I guess that when adding apps, altering your phone by adding hardware access via application, sometimes certain scripts must conflict and butt their heads together. I remember I had a few glitchy errors with Camera Filter type applications, but once i found an app for that nature that I had prefered, i deleted all camera related apps, and then reinstalled the app of choice. Seems to do the trick for me. Had a fault with random audio playing/pausing when having another application running. Anyway, I too had a dilemma with the little icon. Everytime a song popped up a picture of my girlfriends knockers popped up. Not something you want your kid brother to see. Hahaha :icon_ rofl:
Anyway, I have found "conflicting apps" to be a pretty dominate reason for errors like the one listed above. The thumbnails folder appeared in my gallery after having a third party application that wanted access to read/write to the thumbnails folder. Interesting. The folder then disappeared from my gallery once i deleted said app, and later, purged 2.2 froyo to my motorola droid.
All the info I can provide, given my personal situation.
Maybe someone can compare their experience to mine.