When Shorts first launched, YouTube allowed custom thumbnails for a limited time. Then they removed it altogether for a few years. Later, they brought it back but only if you uploaded through the YouTube mobile app.
Now, they've finally allowed creators to upload custom thumbnails on desktop... with yet another catch. You need to be in the YouTube Partner Program (YPP).
If you're not in the YPP, you can still get a similar effect by exporting your thumbnail and embedding it as the first frame of the Short.