Yes, they do say thank you. I haven't got the full list of stuff that they say, but in addition to that they also say things like "Finally"
Makes sense if it happened.
I have not noticed it the few times I have been able to kill a resurrection.
I think very few people are like me and kill their resurrections once combat ends.
However, in saying that - have you ever been into a necromancers or vampires lair? It quickly becomes a resurrection fest if you aren't careful. In addition to the random corpses that they resurrect to begin with, they also resurrect each other when they die.