If someone covers for you while you're on annual leave for 2 weeks, which also involves that person picking up things that could wait until you get back, but they want to help you out so that your first few days back aren't hijacked, would you thank them on your return?
Or are you of the view that if you're on hols, the work that you would ordinarily do during that time, isn't your responsibility, so why should you thank someone for doing it, it's the company that should be thankful to whoever picks it up.