Santa's Elves are a distinct species, separate from other species of elves, characterised by their submissiveness, lack of imagination, endless patience, love of stable, predictable environments, and delight in performing repetitive, menial tasks.
So, far from feeling oppressed by Santa, Santa's Elves thank Santa daily for providing them with the environment that they enjoy most - one of servitude, stability and order, where the need to think for themselves and improvise is minimised.
For such beings, thanks is unnecessary - they thank Santa for employing them, and for providing a stable, unchanging environment.
Promotion to a position of greater responsibility - and by logical extension, to a position of less predictability - is seen by the Santa's Elves as a precursor to the end-of-life exile of Santa's Elves who are no longer productive on the barren surface of the arctic icecap where their lives will undoubtedly be brought to a close by hungry polar bears. Fortunately, though, Santa's Elves are a long-lived species, and only a few elves each year become too weak or senile to be useful. Indeed, that a Santa's Elf could become unproductive is a matter of great shame for it and its fellows, and Santa himself doesn't have to intervene, as the Santa's Elves themselves will help their senile, failing relatives up to the surface to die all by themselves, frequently thanked by the exiled Santa's Elf for their assistance in expiating the shame associated with uselessness.
Santa's Elves do not care for glory; their joy is in repetitive labour, predictable environments and usefulness. They care little that Santa gains the credit for their work so long as their work keeps coming. They do not even care what they do, as long as they are useful and that the work is predictable. The greatest horror for a Santa's Elf - aside from uselessness - would be to be forced to improvise, to work with unpredictable tools and materials and to be required to interact with the end-user of the product they make.
This is in distinct contrast to their relatives, the Scandinavian Svart-alfr and Dverge. The former are similar to the Santa's Elves, and while also gregarious and also enjoy subterranean environments, are more chaotic, independent and flighty. The latter are also subterranean, but are more solitary, and while they take a delight in labour, they insist on generous payment and only work on projects that interest them, which are typically different from any previous project.