Two things:
1. It has to be a PSD, which you seem to have covered.
2. If it has Layers, it has to have "Save Composite Thumbnail" or whatever that feature is called. Can be found somewhere in Preferences. Umm… File Handling > Image Previews.
Other than that, I have no idea what the problem is.
as i said, my best guess is that some moron at adobe set something wrong when coding it, as there seems to be some form of limitation based on the filename itself. as i said – two copies of the file, absolutely identical, except for filename. one worked, one didn’t.
all the files that worked, had less than 7 characters in their filenames.
go figure.
I have never had any problem with file names for Dmaps.
Incidentally, I found you can even store them in the image you’re working on. Put them on a separate layer, hide all the other layers, and save.
Then, hide the Dmap layer, and show the other layers. You can now use the file’s name on itself. Admittedly, this is not too practical for images of any sort of complexity, though.
– John