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Technically speaking, a DNG file isn't a camera raw file, but it is related.

A camera raw file usually has the suffix .raw or .crw. It's just the raw numbers read straight from the camera's sensor. Every different brand of camera has its own special proprietary raw format; it isn't a defined file format.

The DNG (digital negative) file format was created, if I recall correctly, by Adobe. It is not the same as a camera raw file. Instead, it is a camera raw file wrapped in a TIFF wrapper, which contains additional information about the file such as what type of raw file it is, version control information, and other data.

Some cameras produce DNG files directly; the computer inside the camera takes the camera's raw format, wraps a DNG wrapper around it, and then outputs that. Other cameras don't produce a DNG directly; instead, when you import the raw file in your computer, the importer (or sometimes other software) turns the raw file into a DNG for you.

Now here's where it gets really complicated:

A workflow that uses camera raw or DNG files can store additional file data in a database or a "sidecar" file. Adobe Lightroom and the Adobe Camera RAW converter, for example, keep a database on your computer that records information such as conversion settings and whatnot, so that if you convert that file from RAW again, the settings you used last time you converted it will be the same.

Some programs do something similar, but instead of a database, they keep a "sidecar" file, which is a second file that contains that sort of information. So say you have a camera raw file called IMG2233.crw, and you convert it to a DNG and do stuff to it. The program you use to convert it might create a file called IMG2233.xmp.

Now, if the file's preview is stored in the XMP sidecar file, and you change the name of the DNG file, the preview might vanish because now it can't find the XMP file any more. If you rename the picture from IMG2233.DNG to Picture-of-my-cat-Fluffy.dng, it will look for a sidecar file called Picture-of-my-cat-Fluffy.xmp; since it can't locate that, everything that's stored in the XMP file will disappear.

One of the nice things about DNG files is that they don't need to use a database or a sidecar. Most programs that can convert images to DNG can also include the preview and metadata straight inside the DNG instead of in a database or a sidecar; it's one of the advantages of DNG.

So if you rename a DNG and its icon suddenly disappears, that suggests to me that the icon was never inside the DNG; instead, it was in a database or in a sidecar somewhere on your computer, and by renaming it, you broke the connection to the database or sidecar.

What program do you use to make the DNG files? I would check that program's settings to see if there's an option to include metadata directly in the DNG instead of in a database or sidecar.