Hi nunuk!
Could you give us a little bit more information? Are you saying that video thumbnails remain in the Movies section of iTunes itself or that they remain in the Movies section of the iPad when it's synched even after they've been deleted?
If it's the first, then that's perfectly normal, as iTunes is only copying the movie file to the iPad, not moving it, and you will need to delete the file from your iTunes Library itself if you no longer need it rather than just from the iPad.
If it's the second, then it may be the case that something is going wrong when your iPad syncs with iTunes, and either the movie files or the thumbnail cache on the iPad aren't deleting properly. I've sometimes found that if you drag a file from iTunes onto an iOS device to copy when it is still in the process of its initial sync, then, while the file will copy and be present on your iPad or iPod, it will not be visible when the device is next connected to iTunes, making it difficult to properly delete it.
When all else fails, it's often worth giving your iPad a soft reboot, by holding down the "sleep" button till the red "slide to power off" icon comes up, and then restarting by holding down the Home button. The soft reboot cures a surprising amount of ills!