Video thumbnails are an optional option for you to link an external video (currently supported only YouTube) to an image inside the product image gallery. When you link a video to an image, the user will see the play icon in the center of that image as shown on the screenshot below
To link a video, from your Shopify admin, open the product you want to work with, and scroll to the "Media" section which contains all your product images.
Click on the image you want to attach a video and from the options on the right, edit the "Alt text" as shown on the screenshot below. Enter the full video URL likes this: "https://www.youtube.com/watch?v=4n4rLSzZiSw"