Its nice that thumbnail mode shows a bigger preview for your images, but often it is annoying that the filename keeps disappearing.
Why? I don't know. How to fix it? That I do know!
Click on the views button in the toolbar and select another view (any type is fine).
Next, display the dropdown again but this time Shift+Click on the "Thumbnails" option. That should do the trick.
Now your icons should now display in thumbnail mode with the filename underneath the preview.