After playing for a while, I noticed when I teleported back to Thole (the very first town), all the inhabitants are gone? Is this a glitch or is it a part of the game?

If you told Zaar about the catacombs, they evacuate (there is even a quest you can do for Arashaad).

If you don't, I think the city becomes empty too but later in the game (like around act 4 or 5). Not sure if that if that is intended or not.