What version are you running? I did this recently in 9.3 and 9.5 without issues.
There have been a lot of discussions going back and forth about whether the thermals should be tied to the decal (thru hole pins) or left to the designer (vias). When there are many vias in the pad I typically go the decal path. It means I get a bunch of extra (ground) connections on the symbol in the schematic but I have a repeatable thermal setup for a part. When it is one or two vias I'll add them at the board level.