Also noticed on the JPG exports this happens to it doesn't follow my export setup to limit the file size. For example I set it to limit to 4096K and it exports a 13MB file with no preview thumbnail.
Ok, after lots of attempts to recreate I can do it like this:
Export as JPG to hard drive and select 'limit file size' option and give any size smaller than the full 100% quality JPG would normally create. Using any other options to limit file size such as quality < 100 or resize long edge to 1024 completes successfully.
Can someone else confirm this on Windows 8 with LR 4.2, it only takes a single file?