No biggie. Thermite is a mixture of a metal and a metal oxide, typically aluminum and iron oxide (which is an oxidizer). Thermite specifically converts the iron oxide to iron metal (very exothermic). That's why they use it to repair rail lines, etc.

If you replace the iron oxide with another oxidizer, it's not really thermite (since no iron metal is produced) and it turns it from a very exothermic reaction into an explosion (with the right oxidizer).

They do make thermite grenades, but they are typically used to destroy equipment, not make a loud sound (as flashbangs are).

If the police were using thermite grenades for raids, that would be even more horrifying than it already is.