Thatch may or may not be a problem depending on what it is. IIRC true thatch is a problem of shallow matted roots usually resulting from watering too shallow and lightly. However if you are talking about a layer of dead and decaying grass blades on top of the soil beneath the live grass, I wouldn't think that would be a problem as long as the lawn is green on top. I can see how adding compost would lead to rapid breakdown of that dead material, though.
I would love to put compost on my lawn and even have a cheap source of sifted compost, but I'd need a spreader to tow behind the riding mower, which can be had for a mere $1000, too rich for my blood.