How to configure Wordpress to create thumbnails

I was having a problem on an 3.8.0 install where thumbnails were not being created by Wordpress.

I thought it was the install, so I installed 3.9.2, not upgrade, but completely different install.

And now it is having the same issue. It will let me upload images, but when I save them, no thumbnails are created.

I have 'Crop thumbnail to exact dimensions (normally thumbnails are proportional)' set checked as well as 'Organize my uploads into month- and year-based folders'.

Is there some other place I need to activate or configure to get Media Manager to create thumbnails when I upload a new image?