You are exactly right - while some doors can be lockpicked in EOB1, you'll always find the keys for them. In EOB2 there is the one door down in the catacombs, and the two (three?) doors up in the Cleric living quarters. In EOB3 there is a puzzle or two where a Thief can provide an alternate solution, but that's it. In short, the class is completely unnecessary.
Especially since there is no backstabbing in the EOB games.