CiviContribute: change "from" email address for thank-you letters
A quick look at the 'Thank-you Letter for Contributions (PDF)' page suggests that you are not missing something, and that this is not possible at the moment.

I wouldn't call it a bug, I would call it a missing feature, but that is somewhat academic / pendantic :)

If you did want to be able to select a person, as you can when sending other mailings, you would need to add this feature. Either by asking someone to do it for you, or coding it yourself (not sure if you are a coder, Noky).

If you want to go down the first route, you can find a list of people that could help you do this here: https://civicrm.org/partners-contributors