Bluebeam does not support PDF thumbnails in Windows Explorer.
The solution I've found is: Install another PDF reader (I use Foxit, Adobe also works), enable thumbnails in the settings, keep Bluebeam Revu as the default PDF Software, and you're set! You should see you're PDF thumbnails with a blue icon in the bottom right corner of the thumbnail
In Windows Explorer click on Options\Change Folder and Search Options\View ➔ Check "Display file icon on thumbnails".
Cheers!
