I blame adobe. They.d mess up a dream.
Ahaha. Zubaz, I blame Adobe too, as I've run into this myself. 
PDF thumbnails are unique in that they have all the alpha bytes set to 0, so the image renders fully transparent or all black. Before converting the GDI bitmap of a thumbnail into a GDI+ bitmap, I make a quick diagonal scan of the thumbnail: if all alpha bytes are set to 0 I convert using GdipCreateBitmapFromHBITMAP, which throws away alpha information:
' Do a quick diagonal scan to make sure not alpha bytes are set to 0.
' Otherwise PDFs thumbnails and videos thumbnails under XP are rendered
' as fully transparent. If all alpha bytes in our scan are set to 0,
' then render using GdipCreateBitmapFromHBITMAP.
Do While X < BMInf.bmWidth And Y < BMInf.bmHeight
If BMData(Y * BMInf.bmWidth + X * 4 + 3) Then
IsAlphaBitmap = True
Exit Do
End If
Y = Y + 1
X = X + 1
Loop
You might want to tell Jeff about this, assuming he doesn't know about it already.