I would actually recommend saving it. I know at least on 5Ds, the Canon FCP plugin uses them supposedly (according to Gearbox) as does Rarevisions’ 5DtoRGB.
It holds metadata/exif information about this video, this is not only simple thumbnail! Rename .THM file to .JPG open it and press cmd+i on mac or if you are on PC – go to properties, and you will find all shooting information like exposure, ISO, and all usual information.
This file is created because canon not write this information in to video, but create a seperate file – genius! Two in one!
hope this helps. 😉