Ask yourself: what does the TSA do to detect iron oxide and aluminum? (Much less magnesium! MacBooks, anyone?)
They've known about this for years. They have quite competent "red team" people who think up possible threats, and they're not remotely so stupid as to believe that the Bad Guys can't think up this kind of thing themselves. Ask a classroom of sophomore-level engineering students to come up with ways to get plane-killers aboard and this is one of the first ones -- although it's a very, very long list.
However, stopping thermite from getting onboard is going to be way more of a public inconvenience than their mission statement allows.