I'm using PM version 4.5.3 and nikon capture NX version 1.31 for nikon's d300 NEF files.
When editing the NEF files with NX and subsequently closing them, the thumbnail disappears from PM's display. No changes were intentionally saved to the NEF files and the issue occurred after opening, editing and then closing the file without saving any changes. All of the files that were edited and saved were saved as JPGs in another folder, not related to the folder with the originals.
Closing and reopening PM fixes the issue until more edits are performed with NX. I haven't tested to see if the issue also involves other file types or files from other cameras but can do so later. It seems likely that NX is doing something to the files that PM doesn't like.