By default, Lightroom uses the first frame of a video as its thumbnail display in the Library module. That's not always the most useful visual representation of the video clip.
Changing the thumbnail image isn't a workflow essential or a requirement, but it can be a handy convenience to choose a more useful visual reference point when you're trying to find the video you're after amongst a bunch of others.
Lightroom's tools for working with video files are very limited, but this is one of the functions it can do. And it's quick and easy.
But before getting into the details of how to do it, it's worth noting that this applies only to displaying in Lightroom. The setting doesn't stick outside of Lightroom--if you're uploading to a service like Youtube, for instance, you'll need to use that service's tools to select a cover thumbnail that's specific to that service.
So here's how to change a video's thumbnail cover image in Lightroom.
Go to the Library module. If you go to the Develop modules, as you might do instinctively for something like this, you'll get the error message that "Video is not supported in Develop." So nearly every interaction you have with video inside Lightroom's main screen is handled in the Library module.
Select the video you want and then double click on it to bring it up in the single-item, as you would when going to play the video. (It won't work in the grid view.)
Using the small console at the bottom of the main video, move the playhead (the progress slider at the bottom of the video) to the frame you want to use as the thumbnail.
If you want more fine-tuned control, you can click on the small cog wheel icon to the right of the playhead to bring up an enhanced console that includes its own filmstrip as well buttons to advance or rewind frame by frame.
Once you've positioned the playhead at the frame you'd like to use as the video's thumbnail image, click on the small rectangular icon just to the left of the cog wheel.
You'll then get a short popup menu with the options for Capture Frame and Set Poster Frame. The one you want is Set Poster Frame. (The Capture Frame option is for grabbing a frame from the video as a separate still image.)
As soon as you do that, the poster frame will be set, and whenever that video is displayed in Lightroom's Library module, that's the thumbnail that's used rather than the video's first frame.