Since the denial in this case is from the airline flying you into Thailand, it is possible in some cases that additional scrutiny is used for VE entries. The reason for this is because if you are denied entry, the same airline you landed with is obligated to take you back (at their own expense). So it's nothing personal if they are trying to cover their liability a little.
Now as to whether or not Thailand immigration will actually refuse entry simply because of no onwards travel proof (VE entry, first time visit), it is pretty rare. More likely they would ask to see financial proof: 10k or 20k THB equivalent cash or travellers cheques. And even that is rare also.
I said rare, i didn't say it could never happen (being asked to see onwards travel or financial proof by immigration officer; being denied entry on aircraft because of no POOT).