@Sergio ******
I guess you never worked in law enforcement or immigration. You don't know anything, they are not allowed to search your phone or force to give Bankinformation. The right way woukd be to tell the officer, I gave all information they ask for to the embassy in the process of the visa application and it was proved by the authority of the embassy. They can ask the embassy if they are interested. As this is another anonymous post I wouldn't believe anything.
To do what was described they would need a court order.
We don't know the history of the dtv holder may be stayed for a long time before in Thailand already on different visas.
What I know is that different airports ask for a info paper about the dtv holder what you have to fill out. But never ever they are allowed to check bank statement or education or work related papers as you are a tourist nothing more.
The right reaction would be to ask for the supervisor and then ask for the written law why they want to see confidential information.
This is not the USA, people don't get deported for no reason.