Not sure whether this is a recent bug, or whether it's always behaved like this, and I just didn't notice....

If you add a PDF with an associated THM file, it works fine if the object is copied to the project. But it fails if the object is linked, instead. And once it's gotten the wrong end of the stick, it can't be fixed by converting the link to a copy. The only fix is to change the default "when adding" behavior, delete the object, and add it again.

Attached are a pair of small files to test with. If the object is linked, the PDF gets the generic PDF icon instead of the THM image.