Do you mean that the icon for an exported VP file, such as an Mp4 movie, doesn't have an image?
This is related to the default player that is configured for the specific file type. For example...

MPC-HC is configured as the default for WMV files. The file icon displays a frame of video. Click it, and the file plays.
If a video frame is not found, or if the player's icon can't display one, the icon for the player itself is often seen.
To learn how to add an image here see the "tips for getting help" sticky post at the top of the forum.