That is correct. Connect and windows explorer do not natively display JP2 thumbnails.
If you want to display them, you need an external program. See http://community.coreldraw.com/forums/p/36030/168360.aspx#168360 for a possible answer, but the program has been discontinued.
http://superuser.com/questions/31924/how-can-i-preview-j2k-images-in-windows-7-explorer suggests irfanview will do it but I've not tested it myself. It also suggets a JP2 shell extension, also untested.