The solution to have thumbnails for videos in Zenphotos, the same way you have for photos, is to place a jpg with the same name as the video. For instance if you have a video named a.mp4, create a jpeg named a.jpg in the same folder as the video. This photo will be used as thumbnail for you video.
It's fine to do a few manually ... but call me lazy I don't fancy the extra manual step each time I need to add a new video. So a create a little script to generate the thumbnails.
Before digging in the details, it assumes a few things. First this only works under linux, so you must not be afraid of command line. Secondly it relies on ffmpeg to extract a frame automatically.
If you don't have ffmpeg and you're using an Ubuntu / Debian type:
Then you into the folder under which the videos are and type:
And paste the following content into the file:
Run the script and you're done.