This is expected default behaviour.
It is actually works for mp4 thumbs which is considered as PD (progressive download), but not for jpg thumbs which are not marked as PD.
As a workaround, to make jpg protected, you can mark jpg as PD via the following option in /etc/nimble/nimble.conf:
Do not forget to restart Nimble after editing nimble.conf (e.g. sudo systemctl restart nimble)
Please find details on the next page: