Yep.
It usually requires custom code to pull the thumbnails through.
Some simpler options are available in Admin CP > Applications > Gallery Options > Media Sites:
e.g. you could select Vine from the drop down and supply the path to an image you'd like to use as a thumbnail, that would give each Vine video the same thumbnail, but at least that might be more desirable than the stock "no thumbnail" image.
Aside from Facebook, the other ones in the screenshot are actually PHP classes. This is where you could get some custom code written to retrieve the thumbnail from Vine programmatically.
There is another option, but it depends very much on the media site. This is as an example which obviously won't work because I've not looked into it, but if a Vine URL is like this:
http://vine.co/v/12345
And Vine thumbnail URLs are like this:
http://vine.co/thumbnail/12345
Then you could just enter:
http://vine.co/thumbnail/{$id}
That would only work if there's a 1:1 relation between the ID they use for their videos and the ID they use in their thumbnails. This is surprisingly rare, so far in the default media sites, only YouTube provide an easy URL for their thumbnails.
Finally, the other option is for each video that is uploaded, you can "Change Media Thumbnail" and upload your own thumbnail.