For sure you should have one. It’s not immigration that you need to worry about. It’s the airline not letting you board. An exit ticket anywhere is fine.
It’s really not that difficult and it ends up costing $3-$500usd more than it would normally cost to get there pre Covid. If staying for more than a couple weeks this isn’t so cumbersome. Additionally, costs within Thailand for accommodation and activities are far cheaper currently than they were pre Covid.