And yeah, they are EXTREMELY tough. High-level vampires and Master warlocks are the best thralls, IMO. They are very aggressive and spam destruction spells like it's going out of style. I quit using thralls because the game became too easy.
Same for me with the Dremora Twins, since once I have them the only offensive action I ever have to perform is the initial summon. Hell, I can turn them loose in an interior and then go make a sandwich, and when I get back they've cleared the entire cell.

I turned the difficulty up to Master.. I get two shotted, while my Master Vampire Thrall can tank two giants and a mammoth.. LOL IN the SAME robes as me... So you say upgrading to a Volkihar Vampire will be much better? And if he dies I can bring him back, correct? Or I can turn the Master Vampire into a Master Volkihar Vampire, and not be able to bring him back?
You, too, can tank two Giants and a Mammoth while not wearing armor, provided you dump a lot of points into Health and make good use of '-skin' spells and Wards. The Vampire does it by abusing Vampiric Drain, which is a low-magnitude, but constantly applied, Absorb Health spell. See, unlike our version, his scales, so he's getting double or more the HP per second that we do, at which point it becomes pretty good.