Can you explain why there was no thumbnail for that file?
The OS does not create or add thumbnails, previews, nor custom icons to images or other files. Although it displays files with what appears to be a custom icon, it is not part of the file itself; it is created on the fly, just for display. Since it is not part of the file, it does not appear in the Get Info window.
Back in OS 9 days when you downloaded an image file from the web, either via drag and drop or via the download mechanism, the image file would typically be placed on the drive as a QuickTime image with both a custom icon and a preview image added to it.
I skipped earlier versions of OS X, and started with Snow Leopard, so don't know about earlier versions of OS X. Apparently the auto creation and addition of a custom icon and preview have been dropped in later versions in favor of using Preview to generate a temporary (for display only) custom icon on the fly. One result of this is that image file sizes are kept reasonably small - adding a suite of custom icons and a preview image to the file itself increases the file size a lot; it's not unusual for those additions to double the file size, or more.