FFmpeg video previews
Video preview images require FFmpeg installed on server.
ffmpeg.org
This tool can be installed if it's your own server or if you have command-line access. If you are on shared hosting, it's unlikely you have access to FFmpeg, but you can always ask your hosting service.
Video preview performance
Creating video preview images can be slow, likely because of the internal process of opening videos and navigating frames to extract a frame for preview image. Once preview is created for the first time, it will get cached and will therefore load much faster on consecutive visits.