The Finder isn’t rendering those thumbnails. Applications can provide a custom thumbnail for a document, and some do. If there is no custom thumbnail, the Finder will then attempt to make its own (that happens sometimes for images like TIFFs that usually don’t have an embedded thumbnail). If that can’t be done, the Finder draws a generic icon. For example, I have several EPS files that have just a generic icon. If I try to open them in Preview, it sits for a very long time attempting to render them for display. Same with SVG. Some apps support them (and set custom icons), but the OS in general does not.
As far as whether the app should support them, I guess it depends on what you mean by “support” – are you asking about being able to edit them? That’s not something I would create – it would need an entire vector drawing system. Or perhaps, just display and rating / flag / filtering? Then, that is more possible, but would be a considerable effort. PDF is possible, since the OS has support for that, but that also leads to a question of multiple pages. Are you asking for the ability to view multiple pages, annotate and stuff like that (Preview can do that, currently)