I started to have this problem lately, some of my desktop image thumbnails are not showing completely ,like they are not downloaded correctly or unfinished.
It doesn't happen with all images ,but it happens pretty often.
Files affected: images - downloaded or saved on the desktop by various programs such as adobe photoshop ,photomatix HDR generated image ,mainly big image files like over 1MB.
I tried the disk cleanup thumbnail cache ,it worked recovering the unfinished thumbnails ,but it still happens again.
A restart doesn't help. And it only happens on the desktop. in folder files are fine.
Here's a screenshot with what's happening: