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Hi Dion,
As Windows Explore use Webdav technology, it should be an expected behavior that SharePoint libraries load image Thumbnails slowly and it is not feasible to process thumbnails in the cloud. Thanks for your understanding.
However, you can using the sync feature to sync the Online document library to the local. Based on my test, the thumbnails can load perfectly. For your reference:
Sync your OneDrive for Business files
Note:Asset/Picture library can't be synced. Please do not store pictures in them if you decide to use the sync feature.
Best Regards,
Sky Pei