If you try to paste a component into FigJam, you can't set it as a thumbnail. You have to detach the component in Figma first, and then paste it into the FigJam. Then you can set it as a thumbnail.
In the same way, if you add a library to a FigJam file (like for stickers) and use one of those, you can't set that as a thumbnail, even though the use case of making covers for clients or projects and being able to just drag and place those in FigJam is probably pretty common. I don't know why you can't set it, but it seems like that would be an easy thing to do.
This ticket was closed after everybody gave up… but this seems straightfoward.