Figured it all out.
Thumbnails don't show on the desktop in Xfce.
Image files show as thumbnails in folders (Thunar) by default.
You can make video files show as thumbnails in folders only after installing "FFmpegthumbnailer" from the synaptic.
Initially I was really bummed to find out thumbnails don't show up on the Xfce desktop and that was a real drawback for me because I deal a lot with photos and videos. However, I forgot that Windows doesn't show thumbnails on its desktop either, but that only the GNOME desktop does (not sure about KDE) which I've been using for the last couple of months (amazing how little goodies from a D.E. can spoil you so fast!), so with knowing all this, I'm back to giving Xfce another test-run.