If I create an album with a handful of images and one web location, and tell Story to show the web location as Link only, I still get a thumbnail for it. This happens whether I tell Story to include web locations in the footer or not. In this case, I told it to include the link in the footer.
Tough to know how to deal with web locations, because different users want to use them in very different ways. I've resisted the urge to treat them differently, but that means that in my skins, with a mix of images and web locations, they're not differentiated in any way - the user can drag them all to the end or the beginning of the thumbnails, but that's about it.
For a master album, where there are no other album objects, the user can just make the thumbnails bigger (more like folders). In that context, it's simple. But when you've got web locations mixed in with other things - images, videos, folders - it starts getting byzantine, in a hurry! Best of luck.