Kdenlive: MP4 file icon
This question has been answered in a previous post here.

The best way to do it is by using ffmpeg.

If you save the frame of video you want as the thumbnail in .png format, you can use the following command to apply the thumbnail to your file in ffmpeg:

ffmpeg -i INPUT.mp4 -i IMAGE.png -acodec copy -vcodec copy -map 0 -map 1:0 OUTPUT.mp4