I did some tests with the file you sent, and it's pretty clear that WordPress doesn't want to create thumbnails for some JPG files, and is quite happy with others. Other WordPress users report similar issues on the WordPress forums, so it would seem to be a WordPress issue in general as opposed to an issue with your particular blog.
Strangely, when I open the sample image you sent in my graphics editor, save a new copy of it and upload that new copy, WordPress does generate a thumbnail. So it might be that WP has a particular issue with a certain type of JPG...
So unfortunately, since this appears to be a WordPress issue, we're not able to resolve this one for you. But we will stay on top of this issue, perhaps this bug will be resolved in future versions.