Is it possible to see thumbnails/preview images in Open/Save dialog? I am on KDE Neon, but had this 'problem' within Gnome too.

Just found out if I use version from Krita Lime PPA it uses native windows dialog from KDE. That is exactly what I was looking for.

So question is why does it work if I install Krita with PPA but not with Appimage?

Because the appimage comes with the absolute minimum of libraries needed to run Krita. That excludes the KDE integration qt platform plugin, which is what contains the KDE file dialog.