Dolphin will give you .kra thumbnails as long as you configure it under Configure > Configure Dolphin > General > Previews > Krita Documents.
If you’re using Krita as appimage, the OS may not automatically make the association and you need to manually add the extension(s) in System Settings > Applications > File Associations, and then manually associate .kra and .krz with application x-krita.
[bonus]: you can also associate .kra files with Gwenview and have the option to browse and preview them without opening Krita. There’s a list of app preference order, if you keep Krita at the top of the list, it will be the default, but you will be able to right click > Open With and pick Gwenview from the submenu in Dolphin.
HTH