After 4 hours of fighting with other players to try and get a preview image to show up, I found this and was good to go. I did have to use a .png instead of a .jpg to get it to show up, but what a relief! I think someone already mentioned the documentation.
"Don't go to media manager to try and upload files".
The default folder is media in your root or /public_html/media, then make your video and audio folders there. Documentation=3 but the player still gets a "5".