I've seen it done in ArcCatalog in C# and have butchered the code to use myself to bulk create thumbnails but for file system and geodatabase data so haven't tried on SDE.
The logic is that you iterate through the selected data sets and preview them capturing the thumbnail.
The code activates the "Create Thumbnail" button for each of the data sets
Definitely something that needs adding to the wish list as making thumbnails for all the data sets is so painful..
Neil
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