When I save PSD files in Photoshop CC 2016 on a computer running Windows 10, I do not get to see thumbnails of images in the File Explorer, but instead the Photoshop logo is displayed in place of PSD files. Earlier I have been using Photoshop 7.0 but in that there was no such problem.
Note: This definitely is not an all-around solution, but it might be a start.
When I re-read your question, I had a quick look into my PSD-files, only to find out that they lack thumbnails, too.
It seems that Microsoft has dropped the support for PSD-thumbnails, and Adobe seemingly does not care about it.
One solution I found is SageThumbs - it is free and open source. I tried it just now and it seems to work. But: Layered PSDs show a white thumbnail. If I open the PSD in question in IrfanView, it is white, too - in Photoshop, it is not, of course.
Maybe, XnView's plug-ins could cure that, as SageThumb's main website says:
SageThumbs can use external XnView plugins, it tries to automatically detect XnView installation folder or if failed it will use predefined folder.
Typically this folder is
C:\Program files\XnView\PlugIns\for 32-bit SageThumbs on 32-bit Windows or 64-bit SageThumbs on 64-bit Windows and
C:\Program Files (x86)\XnView\!PlugIns\for 32-bit SageThumbs on 64-bit Windows.
So if you have no XnView installed you can create this folder manually and unpack plugins to it.
I do not want to install XnView or its plug-ins to test this right now, so I cannot prove/refute that this would help with layered PSDs.
Also, SageThumbs seems to support CR2-files that Windows does not support (EOS M6, for example) - however, they all have a purple-shift.
Not really an answer: If this really bugs you but you do not like SageThumbs, you could still use Adobe Bridge instead of the File Explorer. In Bridge, thumbs come up as expected, though it really does not solve the question of thumbnails in Windows' File Explorer.
As a workaround, try saving as TIF, with layers, selecting ZIP compression for the image and for the layers. The file is about the same (large) size as a PSD, and Windows 10 Explorer shows a flattened thumbnail as expected (incorporating all the layers). When you open the TIF file with Photoshop, it appears with layers intact, just as if it had been saved as PSD. Of course, this will not help with existing PSD files unless you open each one and save as TIF. But it might be an expedient solution for new projects. I have tested this only with my old Photoshop CS6; I had the same problem with Windows 10 Explorer showing a generic icon for PSD files instead of a thumbnail. Newer versions of Photoshop might give different results.