I've never had a problem saying thank you. Maybe that comes from the belief that they are fallen angels. When Christianity melded with the faery faith, it created a lot of awkward ideas so that the people could avoid being viewed as heretics. After all, they were worshipped as gods in pagan times.
Yeats thanked: "Be careful, do not seek to know too much about us." Seeing that I had offended her, I thanked her for what she had shown and told, and let her depart back into the cave. In a little while the girl awoke out of her trance, and I felt again the cold wind of the world, and began to shiver." Page 48; The Celtic Twilight.