Hi,
you probably will have both. I usually do so.
each thumbnail can have an fsm that will react on click and fire a global event, passing along an ID for that thumbnail.
then, you have a manager fsm that catches this global event, check out the ID and act accordingly, loading a level, or whatever is supposed to happen.
This way, you compartiment logic and responsability, which make it more flexible, as well as making your system easy to debug and control.
Bye,
Jean