I would like to answer this query as I have recently faced the issue and found the solution (really easy and always there).
Step 1- First need to upload the video and save it. Wait for the video to get approved by fiverr.
Step 2- Go to edit gig again and Gallery -> the video that you have uploaded and you will get the option to edit.
Step 3- Play the video, pause it in the exact Frame that you want to set as Thumbnail, and at last click on "Set as Preview" and its done.
🙂
Thanks !