We present a detailed study of the nonlinear thermoelectric properties of a molecular junction, represented by a dissipative Anderson-Holstein model. A single-orbital level with strong Coulomb interaction is coupled to a localized vibrational mode and we account for both electron and phonon exchange with both electrodes, investigating how these contribute to the heat and charge transports. We calculate the efficiency and power output of the device operated as a heat to electric power converter in the regime of weak tunnel coupling and phonon exchange rate and identify the optimal operating conditions, which are found to be qualitatively changed by the presence of the vibrational mode. Based on this study of a generic model system, we discuss the desirable properties of molecular junctions for thermoelectric applications.