The file picker dialog does not trigger the thumbnail rendering of images in the same way that the actual file manager does.
This is fixed with the release of Gnome 47, but it will still be some time until Zorin OS implements it, most likely by the release of Zorin OS 18.
The new file dialogs are also more capable, with on-demand thumbnail generation and faster and more comprehensive search.
The only solution to this at the moment is to manually navigate to the folder where the images live at least once. You may also need to scroll down so that images that aren't within the "above the fold" view are rendered properly.
Another alternative is to run a script that generates all the thumbnails for image files at the given location. This is a little more involved and still requires manual intervention, but if you find that you have to repeat this many times it may be worth looking into it.
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