For some reason, lately I’ve noticed that Nautilus (which is the GNOME file manager and is the part of your Linux system that draws the desktop in GNOME) isn’t keeping up with picture thumbnails. An easy temporary fix is to press F5 which will refresh the desktop.
I realized it was not a problem generating the thumbnail because if you navigate in a Nautilus window to /home/username/Desktop the thumbnails show up. The only clues I saw about the bug are from a couple years ago and claim the bug’s been fixed– so maybe it’s a new one or maybe it’s back.