First of all, make sure that under "Options" the option "Create featured images" is CHECKED.
The thumbnails should appear with all popular free themes and most premium themes.
If the thumbnail doesn't appear, please contact the developer of the theme you are using and ask them why the thumbnail doesn't appear.
You may also want to send them the following link, so they can make their theme compatible with Associate Goliath.
Alternatively, you can use one of the free popular themes like Twenty Eleven.
Article ID: 76
Category: Associate Goliath Wordpress Plugin