I'm sure you've already noticed it. Or if not, check it out:
Youtube has apparently disabled preview image or grab on embedded players - replacing it with, well, a black screen.
I'm totally not sure why this is so and Youtube hasn't issued any statement on it either --
So I guess the real reason behind it shall shall a mystery for now.
UPDATE: OK, the preview image on embedded players is back. The removal was probably experimental thingy.
[Image-grab from Youtube Blog]