If you server does not have the right image libraries installed WordPress can’t create actual thumbnails, but can only resize them in CSS. I suspect that that is the problem.
Create a file on your server and put <?php phpinfo(); ?> in it. Then load that file. You will get a table of server configuration information. Look for the presence of PHP’s image libraries. I am pretty sure WordPress uses Imagemagick if available, then GD, then nothing. I may be wrong about that though. I am not terribly familiar with the media subsystems.
You can also check the wp-content/uploads folder to see if images are being created in multiple sizes.
It is also possible that a plugin or theme has disabled the image generation.