Generally thumbs do not get a watermark, most of the time makes no sense since they are both cropped and quite small.
However you can even do that by using the custom image functions. They have a parameter to set that (last one if I recall right).
There is also an option on options > image > watermark. Of course if you use custom image functions in your theme they may not use these default settings (which is the reason for custom image functions actually..

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If the thumbs in the paged_thumbs_nav has watermarks, that might be a bug.