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As I mentioned in the thread linked by phred, this is a deliberate design choice by Macrium since they seem not to want to make it possible to create UEFI-only Rescue Media at the moment. Another possible reason is that GPT disks are statistically more likely to be hard drives or SSDs as opposed to flash drives, and since as of Reflect 7.2 it's possible for Rescue Media Builder to format the target device if it's not currently partitioned in a way that's conducive to setting up Rescue Media, this could be a deliberate safeguard against a user accidentally formatting their entire external hard drive. There was a thread here where somebody accidentally did that with an MBR hard drive. They evidently misunderstood the meaning of the warning. (The fact that it was MBR rather than GPT is why Rescue Media Builder was even willing to target that device.)
But if you really want Rescue Media a GPT disk, you can set it up manually by having Reflect generate an ISO and then copying the extracted contents of that ISO to a FAT32 partition on your GPT disk. Just make sure that you built your Rescue Media using a WinPE/RE kernel that actually supports UEFI booting, i.e. anything newer than WinPE/RE 3.1.
Thunderbolt devices interface over PCie rather than USB, which might be why Rescue Media Builder doesn't show it. But booting from a Thunderbolt device typically involves having to enable BIOS options to specifically allow that, and those options are typically not enabled by default because enabling boot-time Thunderbolt support can bypass some of the Thunderbolt port security measures that are enabled by default, which can create a security risk.
All that said, I'd really recommend having Rescue Media on a device that isn't connected all the time, just to make sure that if you ever have some catastrophe that wipes out your attached disks, you'll still have Rescue Media on a flash drive that would very likely have been physically disconnected at the time. There's also the fact that some PCs have "Boot from USB" support that only includes "removable storage class" devices such as flash drives, and will NOT boot from USB "fixed disk class" devices like hard drives and SSDs. And with Rescue Media, obviously you want it to be as likely as possible that it will boot.