When uploading a video, you'll only be able to change the thumbnail as you initially upload it. This is how you can do so:
First, open the Create Content modal.
Once you see the Create page appear, click Upload Video, and add your video.
Then you'll see a 2nd window of the video appear under Video Thumbnail. To select the thumbnail, drag the time slider from the top window to the desired image. Once you've done so, click Choose frame for Thumbnail and you'll see the bottom window match the top window.
You've now selected your thumbnail! Now you can finish creating your post and click Save Content.