You'll need to add thumbnails to your videos so that they are properly displayed in your catalog and as part of collections. You can find the settings to display your thumbnails under Videos>>Appearance.
They'll look like this in your catalog:
Above is the Catalog Image.
You'll also need to set a Player Image which is what appears when someone clicks a video in the catalog and is taken to the content page like this:
This Player Image will be used for thumbnails of collection videos as well.
You can replace these images at any time for existing videos by removing the existing thumbnail and uploading a new one: