In general a Windows (Vista, 7, 8 ) Explorer does dynamically generate the thumbnails for the currently listed files by reading and processing every single image or PDF file. The progress is made visible in the green progress bar under the Explorer path - no problems here on folders with some hundred jpg photo files (5..10 MB each).
For a while, Windows does no longer gnerate thumbs on network shaes, so I think we can ignore this issue. This caused sosme nasty probel,s on renaming directories for example.
There are some more or less strange explanations in the net - all appear to be more connectivity issues, ie. some refeences state to disable some off-load from certain network cards, othrs sugget to disable some dynamic Windows TCP/IP stack tuning (disable it is deprecitated IMHO).
Wen cocpy jusst one or very few files into a test directory - any diffeence?
Anyhting that might be specific to these JPEG files, ie. size, resolution, ...?
Any performance issues with the NAS, or using some kind of port trunking not working properly?