There are two common meanings for the phrase "poster frame":

1. A standalone image on disk (JPG etc) which is displayed by a player before the video is loaded - commonly used by video player apps on websites (YouTube etc), InDesign and PDF files, etc. so the video asset doesn't have to be opened in order for the viewer to see what they're about to watch - although the image is normally captured from the video it doesn't have to be.
2. An image resource embedded into the XMP/ID3 data of a video or audio file which can sometimes be shown in the player, but is normally set because it  appears as the thumbnail image when viewing the files in Finder or Windows Explorer. It's not part of the content stream, it's in the file header. In MP3 files it's used to store album artwork.

You can create standalone JPEG images from PP using the camera icon below the monitor and can semi-automate the export of a still image alongside your video using presets in Adobe Media Encoder, but there's no option in PP (or via Adobe Media Encoder) to specify the embedded poster image in a rendered media file. Several third-party apps can do it, either during render (Compressor / Squeeze) or after the fact (Quicktime Pro), but support for these embedded resources depends on the wrapper for the video file.

The ability to set a 'poster frame' in the clip bins in PP is solely there to help you organize your project assets visually - for example if the imported footage starts from black, or if you want to choose a frame where the slate is visible - but your choice has no effect on the sequences at export and isn't written back into the original footage.