The nature of Insect consciousness
Although the essence appears to have been a continuous entity, with it’s own discrete motivations, concepts and memories, it appears that each Divine Shadow inhabited by the entity was a discrete individual. Thus, in Supernova, the predecessors could single out the 14th Divine Shadow as being especially awful. There appeared to be some trace of distinctive personalities, or voices in each of the predecessors, and certainly the one that killed Kai was voiced differently than the final one.
As such, thanking for the gift of selection was appropriate. Selecting a different host body would have resulted in a slightly different Divine Shadow.
Actually, assuming that essence transfer was an essential part of Insect reproduction, this process makes sense. Otherwise, the parent would expire on transferring all their essence to the junior, or the junior might be an absolute copy of the parent.