"To compensate for their relative weakness, these creatures have been outfitted with a set of sophisticated armor that affords them a high degree of protection. Their attacks are similar to that of the Brute and, as such, they should be approached with great caution. They will not hesitate to crush anything in their path."
The Thrall is found in the area where you find the Scorpion Sword. Not unlike the Brute, the Thrall was created by the Empress of Time. However, with the Thrall, she improved upon the initial design of the Brute. With the exception of its back, the Thrall is completely covered in body armor, protecting it from attacks that would have otherwise killed the Brute or it in general.
The Prince cannot retrieve Sands from killing the Thrall.