If in Caja has no thumbnails, check first that packages ffmpegthumbnailer and libffmpegthumbnailer4v5 are installed. If not, install and log out an in.

If that does not help, delete $HOME/.cache/thumbnails/fail folder.

rm -rf $HOME/.cache/thumbnails/fail

If that does not help, install Thunar and open folders using Thunar, so thumbnails are creating.