FSlateStyleSet

Its possible to assign custom Thumbnails and Icons for specific classes using FSlateStyleSet. Its relatively straight forward with only a few minor difficulties to overcome. In this example we will set it up all in a plugin.

Go ahead an initilize a new plugin then the first thing we need to add is the "Projects" module to the Build.cs file:

// Build.cs
PrivateDependencyModuleNames.AddRange(new string[]
{
    "Engine",
    "CoreUObject",
    "Slate",
    "SlateCore",
    "Projects" // <-- The Module for using FSlateStyleSet
});

Up next go to your plugin module Header and CPP and prepare it like below:

// HEADER
#pragma once

// Core Includes
#include "CoreMinimal.h"
#include "Modules/ModuleManager.h"

// Additional Includes
#include "Styling/SlateStyle.h"
#include "Styling/SlateStyleRegistry.h"

// Module
class FYourPluginModule : public IModuleInterface
{
public:

	// Style of the plugin
	TSharedPtr<FSlateStyleSet> Style;
	
	/** IModuleInterface implementation */
	virtual void StartupModule() override;
	virtual void ShutdownModule() override;
	/** IModuleInterface implementation */

private:

	// Was the Style implement correctly?
	bool StyleWasImplemented;

	// Applies the Icons for the plugins asset.
	bool SetupStyle();
};

// CPP
#include "FYourPluginModule.h"

#define LOCTEXT_NAMESPACE "FYourPluginModule"

/**
* This macro just makes it easier to write.
* Another way of doing this is like this for example:
* @note Style->Set("ClassIcon.SomeClass", new FSlateImageBrush(Style->RootToContentDir(TEXT("Resources/SomeImage.png")), FVector2D(16,16)));
*/
#define IMAGE_BRUSH(RelativePath, ...) FSlateImageBrush( Style->RootToContentDir( RelativePath, TEXT(".png") ), __VA_ARGS__ )

void FYourPluginModule::StartupModule()
{
	StyleWasImplemented = SetupStyle();
	
	if (StyleWasImplemented)
	{
		FSlateStyleRegistry::RegisterSlateStyle(*Style);
	}
}

void FYourPluginModule::ShutdownModule()
{
	if (StyleWasImplemented)
	{
		FSlateStyleRegistry::UnRegisterSlateStyle(Style->GetStyleSetName());
	}
}

bool FYourPluginModule::SetupStyle()
{
	FString RootDirectory;
	
	/**
	* Instead of using the IPluginManager to get the content directory in a second editor module its often easier to
	* to just find the directory in the most obvious places and check if its present. This is by no way a good solution in my opinion but it works.
	*/
	auto ProjectPluginDir = FPaths::ConvertRelativePathToFull(FPaths::Combine(FPaths::ProjectPluginsDir() + "YourPluginName"));
	auto EnginePluginDir = FPaths::ConvertRelativePathToFull(FPaths::Combine(FPaths::EnginePluginsDir() + TEXT("Marketplace/YourPluginName")));
	
	// Is it in the project plugin folder?
	if (FPaths::DirectoryExists(ProjectPluginDir))
	{
		RootDirectory = ProjectPluginDir;
	}
	// Is it in the engines marketplace folder ?
	else if(FPaths::DirectoryExists(EnginePluginDir))
	{
		RootDirectory = EnginePluginDir;
	}
	// No valid directory found, therefor no style will be registered or implemented
	else return false;
	
	// Create a new style set
	Style = MakeShareable(new FSlateStyleSet("YourPluginModuleStyle"));
		
	// Set the content Root directory of our plugin in order to access the images
	Style->SetContentRoot(RootDirectory);

	// Common sizes for icons and thumbnails
	const FVector2D Icon64x64(64.f, 64.f);
	const FVector2D Icon16x16(16.0f, 16.0f);

	// Set the Images of the properties to be equal of our new images, finding the property names can be a bit tricky however.
	Style->Set("ClassThumbnail.SomeClassName", new IMAGE_BRUSH(TEXT("Resources/Icon_64"), Icon64x64));
	Style->Set("ClassIcon.SomeClassName", new IMAGE_BRUSH(TEXT("Resources/Icon_16"), Icon16x16));

        // Continue to add styles below...

	return true;
}

#undef IMAGE_BRUSH
#undef LOCTEXT_NAMESPACE

IMPLEMENT_MODULE(FYourPluginModule, YourPlugin)

In the end you will just have to compile everything and when you lauch the editor create the asset of that class and it should appear with the Image, I recommend you try it out with a simple actor class first for practice.