When you share a post on Facebook, or when Jetpack Publicize publishes a post to your Facebook page, Facebook crawls the page and looks for Open Graph meta tags in the head to build a complete post preview (with an image, title, description, ...).
Jetpack automatically adds these meta tags for you, and includes an image meta tag if you've added an image into your post, and if it's larger than 200x200px.
It won't create a Youtube thumbnail out of a Youtube video though.
However, the NGFB Open Graph+ plugin seems to be doing something like this:
http://wordpress.org/plugins/nextgen-facebook/
If you were to activate this plugin, the Jetpack Open Graph Meta tags would be deactivated and replaced by the images generated by this plugin.
I hope this helps.