Hey everyone. I have a definitive solution to the thumping. I know what caused it for me, how to fix it, and why some people don't hear it.
When I first got my AirPod Pro's a few weeks ago I didn't notice it at all. I remember I went for a run and it was neat not hearing the sound of my shoes on the pavement. Then yesterday I realized that the thumping was seriously bothering me, and that it definitely didn't sound like that when I first got them and went for that run. Beyond that, I realized that the thumping was only in my left ear, and it was very loud. So loud that I was worried about hearing damage from using them all the time whenever I walk the dog or go for a run.
Between the fact that the thumping wasn't there when I first got them, and that I couldn't hear it in my right ear, I knew that something was different, and the AirPod wasn't acting as intended. [I should also note that when I tried the tip fit test (found in settings-bluetooth-airpords pro) I had a really hard time getting the left AirPod to pass, with any of the 3 tip sizes and any amount of fiddling. When I first got them it was easy to get it right.]
At first I thought that the problem was that I'm hearing the vacuum - like the vents on the AirPod are blocked, and that's what's causing the loud sound of my feet thumping on the ground, or the bones in my legs as I walk etc.
Then I saw this from an apple support page:
An inward-facing microphone listens inside your ear for unwanted internal sounds, which your AirPods Pro also counter with anti-noise.
Then I realized that Apple never solved the issue of the vacuum/seal and body sounds by using vents. Instead they accepted that the noise was inevitable, and instead of trying to prevent it from occurring in the first place, they should cancel it out with anti-noise. This probably runs regardless of the mode your AirPods are in (at least for transparency and noice cancellation, I haven't tested with 'off').
So my next step was to try to figure out just where that inward facing mic is.
Take a look at the middle picture of Step 9 in the iFixit teardown here:
https://www.ifixit.com/Teardown/AirPods+Pro+Teardown/127551
What you see there on the left is the inside of the grill that goes in your ear - the other side of the grill the silicone tip connects to. The rectangular thing on the grill is inward facing mic.
Looking at my left AirPod that I was hearing the thumping from, there was a little bit of ear wax in the grill right there. Not much - but the mic is so small that it doesn't take much to cause an issue. It had gotten there because I'd seen it in the silicone tip when I'd taken the AirPod out a week before and I'd tried to clean it by using a q-tip. The q-tip had pushed the wax deeper in to the tip. I had appeared to get it out of the tip with the q-tip, but a little bit had transferred beyond the tip's own grill, in to the grill of the AirPod itself and was visible there.
In order to fix it, I just took a damp cloth and wiped. I wiped thoroughly with a small amount of water, and then let it air dry. I also sprayed some water through the tip to make sure that grill was also completely clean and let that dry.
Once everything was completely clean and dry again, I went for a walk.. and perfect! No thumping! Good as new. A very, very noticeable difference from what I was hearing before for anyone thinking this could be in my head. (FYI I'm a professional musician, hearing subtle things is part of my job, but there was nothing subtle about this).
So there you have it! This explains why some people hear it, and some people don't. It's also good to know that you can fix it with a damp cloth, something you'll always be able to find when travelling (when travelling is a thing we can do again). It can probably be prevented by being more careful about cleaning ear wax out of the silicone tips. If there's wax mid-way in to the tip and you think you'll press it down further by inserting a q-tip or something else to clean it out with, just pop the tip off and clean it separated from the AirPods to prevent the wax from getting in to the AirPods grill.
Hope I can save some people frustration dealing with this... when I'd figured that out I'd already set up an AppleCare exchange for the left AirPod...