what Reader version do you have?
I have version 2017.009.20058. I also have Acrobat Pro DC, and under Preferences > General > Basic Tools I have Enable PDF thumbnail previews in Windows Explorer turned on.
Same issue for us...we have Windows 7 64-bit and the "Enable PDF thumbnail previews in Windows Explorer" setting doesn't do anything. We do get prompted for the extra files to be installed and it goes through its thing with that. Even after a reboot, our PDFs still show the PDF icon and no thumbnails.
We've tried this with both Adobe Reader DC and Acrobat Professional DC (latest versions).
This guy has a fix for the thumbnail problem. You have to follow the instructions carefully and then delete the old thumbnail cache using Disc Cleanup. But once you do the thumbnails will start appearing like they are supposed to.
As you can see this was a while ago, and the updated version of this he mentions never materialized. You also don't need to use his fix for Adobe reader, since it was patched after he created this. But the .pdf thumbnail problem still exists to this day.
Let me know if you have problems with it.