It appears to me that this is incompatible with Buddhist teachings. Life will bring suffering, and it'll not be a kind and easy journey. So why be thankful?
On the other hand, if you weren't an arhat then you were going to be reborn in some way. If you were born in some type of affluent family with good values etc., then I guess you could be thankful.
From the Anguttara Nikaya 2.32
"I tell you, monks, there are two people who are not easy to repay. Which two? Your mother & father. Even if you were to carry your mother on one shoulder & your father on the other shoulder for 100 years, and were to look after them by anointing, massaging, bathing, & rubbing their limbs, and they were to defecate & urinate right there [on your shoulders], you would not in that way pay or repay your parents. If you were to establish your mother & father in absolute sovereignty over this great earth, abounding in the seven treasures, you would not in that way pay or repay your parents. Why is that? Mother & father do much for their children. They care for them, they nourish them, they introduce them to this world.
"But anyone who rouses his unbelieving mother & father, settles & establishes them in conviction; rouses his unvirtuous mother & father, settles & establishes them in virtue; rouses his stingy mother & father, settles & establishes them in generosity; rouses his foolish mother & father, settles & establishes them in discernment: To this extent one pays & repays one's mother & father."
Gratitude is a Buddhist concept. Below is an essay on Gratitude in Buddhism by Thanissaro Bhikkhu
As a Western Buddhist, I'd say the advice is incongruent on the grounds of the First Noble Truth, and incongruent because child neglect and child abandonment exist in the world; but on the other hand the advice is congruent because mother and farther generally teach a lot of virtue and useful skills.
Ultimately though it's a worldly matter where morality (sīla) is called for. Treat others as you would like to be treated.
One reason why it is congruent with Buddhist thought is that it's better than some alternatives: for example, thinking, "I hate my stupid parents, they wronged me, they never gave me enough, I wish I'd never been born" is unhappy.
Gratitude can help be an antidote for those feelings: in the same way that compassion is recommended.
There are some limits to this gratitude, or minor limits to the obligation that might be implied by gratitude. For example there are stories of people (starting with Gautama himself) who went against their parent's wishes, by choosing "the holy life" instead of becoming a householder as their parents wanted them to.
There's something about this story for example, which makes me think that she's able to feel "debt free" partially because she is willing to 'give her gratitude' to the supporter who gave her the robe. Perhaps "gift" and "gratitude" are supposed to arise together (co-originate), that's the natural (free) way of things.
I have to part company here and say that expressing gratitude for being brought into the world (or for breeding) contradicts the 1st Noble Truth.
Sutras should be taken with a grain of salt. Test them, apply what works, and dispense with the rest. Don't hold anything as being worthy of veneration just because it's a Sutra. While many Sutras are profound, many are contradictory, incoherent or just plain nonsense.
So work it out for yourself. If life is Dukkha, then why be happy (and express gratitude) that you were brought into it? If (as some Buddhists claim) it's because it's an opportunity to practice, then ask if you'd feel similarly grateful to someone who broke your legs and thus gave you an opportunity to heal.
This isn't to say that we should harbor ill will because of this; it is what it is, and our energy is best spent making the most of where we are. But acting like we were done a favor by being thrown face first into Dukkha strikes me as disingenuous.
I believe this is the result of politics. At some point Buddhism needed to appeal to laypeople who had families, or to the politico/social order, and the result are teachings like this.
None of this is to say that laypeople can't benefit greatly from Buddhism.
Conclusion: Don't take anything seriously just because it's a Sutra.
