it is often the airline you are flying with that may ask for proof of onward travel when checking in to fly to Thailand. This isn't just a Thailand thing have you never been asked when traveling to other countries? It isn't so abnormal as you make it sound.
When arriving visa exempt they have every right to ask to see proof of onward travel (and also proof of $$$ on hand 20,000 baht or equivalent) if you think that's an impediment!? What were you expecting?