You have paste over the vias. Disable visibility of the paste layer and you will see the vias.
And regarding thermal vias in exposed pads: We typically make this inside the footprint using through hole pads of the correct size. These through hole pads would get the same pin number as the large pad. See Tutorial: How to make a footprint in KiCad 5.1.x? for a detailed tutorial and https://kicad.org/libraries/klc/F4.4/ as well as https://kicad.org/libraries/klc/F6.3/ for how it is applied to the official lib.
We have a footprint generator that makes footprints like these: https://github.com/pointhi/kicad-footprint-generator/tree/master/scripts/Packages/Package_Gullwing__QFP_SOIC_SO(documentation is in the process of being added https://github.com/pointhi/kicad-footprint-generator/pull/380) (There is also a similar generator for no lead packages in the same repo.)