Looks like that video is encoded H.264, which according to Google is one of the codecs that Debian only makes available via third party repository.
Here are instructions from debian.org for installing the codec by manually downloading and installing a single package file:
https://wiki.debian.org/MultimediaCodecs
And here are instructions from a third party explaining how to tell apt how to install them so they can be kept up to date (be sure you read the warning on the debian.org page about why they don’t tell you to do that before you do it):
https://www.debiantutorials.com/how-to-install-ffmpeg-with-h-264mpeg-4-avc/
Depending on how exactly your file manager works, installing the codec may or may not be sufficient to display thumbnails. If not, there are probably instructions specific to your file manager for installing the appropriate plugin.
I have been installing the codecs through the Software app. Should I delete them and then install through the terminal?
Btw here are the codecs I have installed through the Software app:
You have openh264 installed already which should cover your bases. Since it quite clearly isn’t I’m not sure what to suggest. What file manager is this that’s having issues?