Hi peeps, dunno if I can help you out here, but I experience the same type of problems as you have.
I'm running XBMP CVS 7-19-03, and streaming via ccxstream 1.0.15 (XBMSP in other words).
I've tried the same thing as you, putting the .tbn-file outside the folder like one should, but it doesn't seem to see it at all or it just ignores it....
However, during some research I found a version change doc by complex stating that they have added the <thumbnails>-tag, so I went in and checked that in config.xml, and the default value for it was e:\apps\xbmp\thumbs. So, I ftp'd the thumbnail files I had created into this folder on the box, and voila! XBMP sees the files and gives be a nice icon for the folder.
So it sort of seems to me like this is some undocumented feature or whatever, could there be a switch that could be used to set XBMP to look for thumbs in the actual folder you are browsing or that you have all your thumbs on one location?
It works fine, but it seems like a hassle to do this for each and every album you have, to ftp the thumbnail that is.
Cheers!