I've noticed a couple of my games don't show the default thumbnails, even though I have saved data and the icon shows up beside the saved games in the MS dashboard. The games are Worms 3D (PAL) and Hunter: The Reckoning (NTSC).
As well as the MS dash showing the icons, the Avalaunch menu shows the icons, though I believe Avalaunch gets the icons from the default.xbe rather than from the UDATA saved game .xbx files, so that's a little different.
I looked in the cache_menu.xml and it certainly has an entry for <thumbnail> for the games, from UDATA. I looked for the file named using Avalaunch file explorer and the file is there. Interestingly, Ava can display .xbx files when you select them in the file explorer, and for the affected files, it said 'no image', whereas for other files it displays the image.
Just to repeat, though, the MS dash is successfully using these 'bad' .xbx files, so they can't be completely corrupt. I wonder if the affected games are using a specific .xbx file format that neither MXM nor the Ava file explorer can support. Does that sound likely?
If BJ or someone from Ava team wants, I can email them the particular .xbx files so they could analyse them, or they could try the two games themselves.