Yes, you need a WP3 or permission to work letter issued by the Min. of Labor. You should have received from the employer their school registry/license, school info, and a WP3/Permit to lettter to work. The school should have helped you apply for the WP3/ Permit to Work letter, which is 1 page with a large emblem on top, all in Thai, and states who you are and what you'll do as an employee, for whom, etc.
Did you make copies before sending it all in? It really isnt hard to miss, if the embassy is requesting for it, you likely didnt get it.
I always tell folks to make copies of everything, and simply use the translator app to get an idea of what is being sent in.
Get your employer to process a WP3 or permission to work letter for you ASAP.