It states "Passengers who hold a one-way ticket may be denied entry at the destination. Please ensure you are in compliance with the entry requirements and regulations at your destination before payment."
So depending on your Visa situation you might need proof of an onward ticket (not necessarily a return).
Fya, this message comes up if you book a one-way ticket on Thai between any destinations (BKK - JFK) so not just into BKK.