Under <Tools><Options> select the 'Thermal' tab and then check 'Routed pad thermals'.
I typically don't want what you are showing, and only want thermals if I haven't already routed the pad manually so I uncheck this. Sometimes you have to watch that there may be a very small stub of a trace under the pad that is connected to the pad. You need to select 'traces/pins/unroute' and then select the pad. Hit <tab> repeatedly and see if any tracks get highlighted; if they do delete them.