I recently ran across a SharePoint issue that prevented the generation of a thumbnail of workbooks in my PowerPivot gallery. First of all i use the blog post of Dave Wickert Troubleshooting Gallery specific issues to debug my problems. Using this I found a solution to the following problem:
In a few installations where I created a new web application using a hostheader, the PowerPivot thumbnails turned into red crosses.In my case the reason for this was that the GetSnapshot.exe is unable to reach the SharePoint gallery. In all these cases the Site was unreachable from within IE on the server console as well. Disabling the loopback check in SharePoint (http://support.microsoft.com/default.aspx?scid=kb;en-us;896861) resolved the issue and the Snaphots are generated ok again.