One of the options for selecting a thumbnail is to use Vidyard's animated GIF generator from the video thumbnail page. This will allow you to make a GIF using the frames within a video.
You can also upload your own GIF using the Upload New option on the player thumbnail settings.
When the GIF is generated, the size of the file can vary. This is because there are a number of factors that determine its file size such as length (seconds), number of colours used and the amount of movement (less movement = more compressible).
In general, you shouldn't see a huge amount of difference in load time if you compare a still image to an animated one, but it does rely on the bandwidth of the viewers internet connection as well.
If you find that the image you have generated is having a negative impact on load times, try creating one of a smaller length, or try a different section of the video.