Altium : vias under pad for power drawing and thermal dissipation
I'm going to agree with Photon and say you should be placing thermal vias manually, and also add that I believe they should be part of the footprint rather than added later. 

Unless they've fixed it in your version, you should refer to this useful answer from @ConnorWolf which illustrates the Ctrl-H workaround for getting the vias in the pads without errors.