I've had this problem too, with Windows Explorer (and Lr3). My guess: Windows starts making thumbnail before file writing is complete (and doesn't reconsider after file writing is complete). If you copy the file, then delete the original, then rename the copy to the original name, the thumbnail will probably be OK. I'm not suggesting this as a solution, but just to verify what the problem is.
Although I've never tried it, I suspect deleting Thumbs.db will also solve the problem - this may be a better work-around solution if it works (you'll have to unhide system files to see it and delete it).
You're welcome "Git",
You may also try goosing the metadata (e.g. change the comments field) - dunno if it would work, but may be enough to force Windows to check and recreate thumb. Or make a batch file that does nothing but "touch" the file (make no real changes, but fool Windows into thinking there was a change), then you could just drag files with wonky thumbs onto the batch file... Actually, there are free touch utilities (e.g. FileTouch.exe) so you don't have to make a batch file.
Although I consider it a bug in Windows, it does beg the question of whether Lr could do something differently to keep it from happening - maybe write to a temp file, then rename, instead of writing direct to the destination filename (or does it already do that?). I've never seen it happen via any other app. Have you?
No, I haven’t run into this issue with other applications, and I have only experienced the problem recently. So it could be related to Windows 7 or LR 4. I suppose the motivation for Adobe developers will depend upon how widespread the bug is.