That's because it doesn't support ora thumbnailing at all, it's just that we save thumbnails into its cache. (GIMP does the same thing with XCF.) When you rename a file, it doesn't find the cache entry any more.
The MyPaint file dialog should still show you all thumbnails, and once they have been generated there they should be visible everywhere.
There is code around to make this work out of the box but not trivial to install (just google around and you'll find it if you want).