It's a very very grave breach of my privacy, and my human rights!
On a seriously note, it's about having the medium ground between privacy and convenience. (I could just as easily suspend thumbnail generation indefinitely but that would mean guessing which video I want to watch especially those video clips that are identified only by the date stamp for when they were taken)
Well, it should be a matter of personal preference, for this is why we choose android! And I can safety say that there is no noticeable performance impact when generating thumbnails of a folder containing say, 40 videos as MX Player only generates thumbnails for the current folder and not everything all at once. In addition, I would say this is a great feature to include and is a step torwards being the best and most feature packed video player ever! VLC maybe king in the desktop arena but MX Player reigns supreme on the android!
If anything, @aarongillion63 and his reason regarding album art is probably a more compelling argument for such a feature. The developer can decide if he wants to implement this feature.