Well, the use of plug-ins requires a licensed copy of the Professional edition. If you have the standard edition, it will show that message instead of a proper thumbnail.
Some (not many) PDF files have a built-in preview image, and if I recall correctly ThumbsPlus can create a thumbnail from those without requiring the Ghostscript plug-in. To give that a try you can right-click on a PDF file, choose 'Configure Type' and set the 'Load Using' value to 'Poly Image' (or if that doesn't work, to 'Internal'). Still, the odds that your particular PDFs can be thumbnailed that way are rather small and if you also want to really open or convert PDF's, you'll still need the plug-in (it's great to have though - I often use it to open PDF's and save them as high-resolution TIF files which I can then edit with very little loss of quality).