Yea, I thought about the cache, but playing around with it I don't think that's it.  And it only happens with certain folders, not all.  Some albums retain their thumbnails always, but some do not.  I open a photo, edit its page properties and assign it as an album thumbnail for some album... and it takes ok and sometimes is there for a day or two.  Then the link to the album its a thumbnail for just stops.  When I check its properties again it is no longer assigned.