My guess is that the scanner does not embed a JPG for PM to show you and hence gives you the error. Saving the file in Nikon Capture does embed a JPG so that's why it shows in PM again.
To make sure the NEFs indeed do not have an embedded JPG, you could use e.g., exiftool to check for it.
Another possibility is that the NEF from the scanner is in a different format altogether (though I don't think so) and therefore is not directly supported by PM.
Cheers