I have sort of found it for Windows 10. It is in
C:\Users\your_name\AppData\Local\Microsoft\Windows\INetCache
But it is some sort of hidden folder. It does not show up in the folder hierarchy even though it is set to show hidden files and folders. I got to it by by selecting the AppData folder and searching for thumbnail. Thumbnails for all the files I have used in 2.10 are there.
EDIT:
You have to uncheck "Hide protected operating system files (Recommended)"
Then the thumbnails folder can be accessed.
C:\Users\your_name\AppData\Local\Microsoft\Windows\INetCache
But it is some sort of hidden folder. It does not show up in the folder hierarchy even though it is set to show hidden files and folders. I got to it by by selecting the AppData folder and searching for thumbnail. Thumbnails for all the files I have used in 2.10 are there.
EDIT:
You have to uncheck "Hide protected operating system files (Recommended)"
Then the thumbnails folder can be accessed.