It's no bug, but I do tend to agree that it's not great to force users to have all this files next to the video files. I've not managed to find a way to gather this thumbnails in another folder yet at least. This can be rather confusing for those of us who have to keep using explorer too. A subfolder with things like sidecar and thumbnails would be good. I do like the new "cover art" system. At first I thought it only stored them in the user folder, and that would be pretty bad with regards to backup, availability etc. You can move this folder under settings though. And this seems to work pretty well. I now have one Cover art folder on my massive storage disk (that is backed up and replicated), and I I have full control over them. I would like if this thumbnails also could be stored here though.
Sickbeard does this really well. It puts all thumbnails in a separate subfolder under each Season, called "Thumbnails". This cleans up a lot. A good naming convention would also make this possible for movies etc. There could even be subfolders under the Cover art folder for thumbnails under series, and a separate Movie thumbnails section. We already have the ability to add the path to the thumbnails today, so this should be possible. There might however be some unforeseen problems when it comes to moving the media as well as the thumbnails that belongs to it.