I just had the same exact issue. First Shot (Sequence) worked fine the others did not during the render even though it look okay when played and the Camera Icon was selected in the Viewport. Also no thumbnails on the others.
To Fix: Double click each Shot/Sequence to open it up, Right Click the first main Line (Camera Cuts or Whatever) and select Edit Section, Camera Binding ID is Unresolved. Select your Camera in the sequence (the top choice).
Exit back to the Master Sequence and now you have Thumbnail and it works. Do this for each.