You don't have to play each file and capture an image, and you don't need to use an external thumbnail maker.
I haven't checked specifically exactly when MC grabs a screenshot on existing shows that don't have an image, but generally it is automatic, if set to be.
I suspect that if you selected the files with missing thumbnails and then ran "Rebuild Thumbnail" on them all, you would get screenshot images from all those shows at once, based on the rules set in MC at "Options > Tree & View > Thumbnails" for TV recordings and other videos. Make sure "Create thumbnails for videos" is checked.
Even if you delete an existing Cover Art image from a video file, MC will immediately build a thumbnail for it from the screenshot taken out of the video, at the point specified in the settings. Note that when using a screenshot, Cover Art is not actually built, but a thumbnail pulled from the video is. So deleting Cover Art from a video which is using a screenshot thumbnail won't delete anything, and will leave the thumbnail in place. So Rebuild the thumbnail in that case.
The trick is that anything you didn't record yourself, as determined by whether a recording rule is attached to the file or not, is not considered a Television Recording, and so the Video setting is used. Tweak the settings so that the thumbnail is taken after any padding time you have included for actual recordings, and after the introduction for other videos.
It may even work if you just ran "Build missing thumbnails" for the files you are concerned about.
