Your thumbnail files actually use bandwidth in your account to be displayed to your users. This is why we have set a 2mb limit for thumbnails.
After knowing this, you might want to double check that your thumbnail files are small enough so they don't eat up a lot of bandwidth when your video is not using autoplay.
For desktop, we recommend having it be 250KB max.
For mobile, it's best to keep your file size under 100KB, but ideally less than 50KB.
We also recommend that for mobile you have a small-sized file of around 720x480 and use more aggressive compression.
Photoshop has a great export option to help you with this called “Save for Web” (recent versions call it “Save for Web (legacy)).