There are 4 sources for the thumbnails of Grid/Masonry Grid: Media Library, Portfolio, Post, and WooCommerce Product.
You could choose images from media library.
Choose the portfolio(Portfolio of left admin bar). It could be created the portfolio page.
Choose the normal posts, it could be created the blog page.
Choose WooCommerce Product, it could be created the shop product list page. Please make sure the WooCommerce plugin is activated.
Pickup a category
When set up the source as Portfolio, Post, or WooCommerce Product, please pickup a Category. The single portfolio/post/product within this category would be shown. Each post should have a “Featured Image” for the thumbnail.