People only think Jellico is an asshole because he's not Picard. Taken strictly on his own, Jellico is a good character, not an asshole, and a fine captain. But nobody ever gives him any slack, because how dare he replace Jean-Luc "can't do anything wrong" Picard? 
Which is exactly what any decent military commander is supposed to do.
Why should they thank him? That's not their job. Their job is to do what he says. He's not in this to be thanked...he's there to do a job. And he did.

He is cool with you if you're doing your job up to his extreme standards, but one screw up and god help you.
Which is exactly what any decent military commander is supposed to do.
At the end of the episode none of the crew seems to thank him, not even last words with Riker, he just gets out of there as quickly as possible.
Why should they thank him? That's not their job. Their job is to do what he says. He's not in this to be thanked...he's there to do a job. And he did.