At the moment you can't enable a filmstrip thumbnail/play icon when displaying a thumbnail for a Query field. We've heard from clients that this would be handy for displaying the latest Version linked to an Entity. Whilst you can display the latest Version linked to an Entity via a Query field, the thumbnail is static and won't launch into Screening Room Overlay Player when clicking on it, nor is it a filmstrip thumbnail.
Please +1 this request if you'd like to see this supported in the future.