As on all StackExchange sites, the idea of comments here is that they are ways of allowing clarification or feedback on questions/answers but should always be viewed as 'less important' than the material they are attached to. In particular, they may be deleted where moderators deem this appropriate.
In terms of 'Thanks' comments, they are not encouraged here and certainly if flagged may be removed, but at the same time there is no particular need to 'track them down'. As such, it's likely that you will come across 'Thanks' comments, particularly if a question was asked/answered recently. (A 'thanks' message is more likely to be removed if it's 'older' than if it's just been left on a freshly-answered question.)