Agreed. Where else would you put that stuff? It’s gotta go somewhere, and this is the least surprising place IMO. Anywhere else would have to be a parallel store that follows filesystem mounts and unmounts, renaming directories, etc so that it alway perfectly mirrors the thing it’s configuring.

In the particular case of thumbs.db, storing them in NTFS alternate data streams would have been a good idea; they're essentially caches for the main data stream, so if they fail to copy to different filesystems it's totally fine. Of course, that wasn't viable because 1) IIRC that was before the widespread adoption of NTFS, and 2) they probably still need the cache somewhere for vFAT USB drives.

And .DS_Store is just your folder level preferences in Finder. If you don’t use Finder they won’t be created