Hmm, the thumbnails should be in the feed unless something is funky.
Check the source to see that it's a valid url to the thumbnail, if not you might get some ideas why they don't show up.
If you add my site for example (
http://www.pixelpunk.se/?x=rss) in a newsaggregator you should see thumbnails, and I don't use any customizations at all on my site, vanilla pixelpost only.
// punK