All thumbnail related APIs can only work on a file that resides on the Kaltura NFS dir [/opt/kaltura/web].
If your file only resides on a CDN, taking thumbnails will be impossible.
Delete exported storage from Kaltura is checked. I do have remote storage setup, i had issues a few days ago that were resolved changing the delivery policy:
my suggestion to you is to uncheck the Source from the exporting policies in the remote storage configuration
this way you can create the thumbnails and when you are done, you can export manually the source
for the current videos that are on the remote storage,
you can manually import the source, create the thumbnails and export again