The Preferences/File Handling settings are as follows:
1. Always Save
3. Window Thumbnail.
Same settings as I use in CS5. For some strange reason, I only get file names with no thumbnail icons in CS6.
See this thread about the non-displayed icons on OS X problem: http://forums.adobe.com/thread/1008694?tstart=30
I did some poking around and found that the icons attached to Ps CS6-saved files are unlike the icons attached to Ps CS5.1-saved files and files saved by other applications. This CS6-type icon is counter to recommendation in Apple's software development guidelines.
A change was made by Adobe software engineers which results in different icons to those on CS5.1-saved files. You'll see that an attempt has been made to blame Apple for the icons not being displayed sometimes on some users' systems. However, if correctly-generated guideline-compliant icons are used then they will be displayed, as far as I know, since only Ps CS6 amongst thousands of apps seems to affect anyone. I think an update to Ps CS6 will see good icons being attached in future.
In the linked thread, some users seem to have found a solution (perhaps only temporary, but I don't know).
An alternative suggestion I can make is replacing the poor icons with good ones.
The impractical laborious method:
1. Using Photoshop, open the file that has a problem icon
2. Select all
3. Copy Merged, or Copy if Background is only layer (so the clipboard contains a composite)
4. Close file
5. Open Finder's Get Info window for the file
6. Click the thumbnail at top-left of Get Info window (thumbnail border should highlight)
7. Paste (OS X will generate and attach a good icon)
8. Close Get Info window
That may be Applescript-able for a batch process.
I have a command line utility that can replace icons, and a batch process could be scripted, but icons are being displayed correctly on my OS X 10.6.8 Mac so I haven't bothered to do that.
Regardless of how you change an icon, if the file is resaved by Ps CS6, a poor icon will be attached again.
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