Caveat:
Note that this solution may introduce a security flaw in your site. Use it with extreme caution.
On my installation, I got a warning when I tried to regenerate PDF thumbnails:
attempt to perform an operation not allowed by the security policy `PDF’
…which, upon searching for that string, appears to indicate that imagemagick (which does WordPress’s image handling) won’t process PDF files.
A comment on a support thread had this to say:
Parsing PDF was disabled[1] in /etc/ImageMagick-7/policy.xml due to its inherent insecurity. The same thing did Ubuntu and perhaps more distros will follow as this is recommendation from security researchers.
You may enable it locally by removing ‘PDF’ from below line:
<policy domain="coder" rights="none" pattern="{PS,PS2,PS3,EPS,PDF,XPS}" />
If I removed PDF from the rights="none" pattern, I was able to successfully regenerate the image(s) for the PDF file.
Caveat
Note that this solution may introduce a security flaw in your site. Use it with extreme caution.