Strange indeed. Try going here http://thumbnails.alexa.com/update_thumbnail and see what happens after 24-48 hours.
I did that last week and still nothing. The image that shows up in our profiles is better technology than Alexa's.
Alexa's been having all sorts of problems lately, apparently they moved data centers - I wouldn't expect anything to be functioning how it normally does on alexa for a week or so.
while alexa may do updates automatically every now and then if site is in DMOZ directory a direct request as mentioned by others always works within a day or 2 the new thumbnail shows up
alexa is much older than most sites on th eweb nowadays and IMO still helpful with new tools and services