The problem may not be on pcmanfm. If you take pictures with your mobile device, then it's likely the JPEG file contains a thumbnail in itself (See Exif). pcmanfm simply uses that one as the thumbnail and display it.
However, when you rotate your image on your desktop, it's likely the image editing software updates the image itself but not its thumbnail. Therefore it creates discrepancy between the image and its thumbnail.
To confirm this, you can use exiv2 to detect whether there's a thumbnail in the JPEG file:
exiv2 image.jpg | grep -i thumbnail
If so, you can extract it to see if it matches the image itself:
exiv2 -et image.jpg
Finally, you can delete the thumbnail in the JPEG file:
exiv2 -dt image.jpg
Open pcmanfm again and see if it handles thumbnails correctly.
If you really want to keep the thumbnail in the JPEG file, you can look for a photo editing software that correctly updates thumbnail. But personally I feel it quite good not to have it as this can save some space if you have a lot of pictures.