Extraordinary claims require extraordinary evidence. Of course EM drive development should be pursued, but personally I will believe it when I see it propelling a satellite, not before.
Well, so far the evidence was nothing short of extraordinary.

It is being still checked for errors (as any extraordinary claims have to be), but this time, we haven't yet heard about any "loose cables", so to speak. Also, spacecraft propulsion might turn out to be one of the less important implications of the discovery. It interacted with White's warp field spectrometer in a rather interesting way (I believe there was a thread about this when it happened).
Thermal hasn't been ruled out. You're thinking of thermal convection effects inside the cavity.
The fact that thrust continues even when the power's turned off is pretty suggestive of test error.
Remember, guys, wanting something to work (I do!) is not reason to update all your hypotheses in favor. There's a lot more work to do before this looks viable.
Thermal effects in general has been extensively ruled out. People suggest them from time to time, but they were the first thing they checked. They tested the drive in vacuum, so no convection of any sort. I think that thermionic emission and thermal photons were ruled out as well (besides, if it worked based on
that, it'd make it one mighty ion engine). I don't think that heating up the scale would cause it to indicate thrust (or that they would've missed an effect like that). "Thermal" is a pretty wide term, but since there was a positive vacuum test, it leaves you with relatively few options. All of them would be exciting in their own right, BTW, since the indicated thrust is far more than ion and electrothermal engines currently in use.
Thrust persisting after power is turned off might also indicate that the effect involves hysteresis curve somewhere. Like with capacitors charging, the energy already pumped in may take a while to dissipate. Or it might be an indication of magnetism screwing the result up (because it's an effect they're not certain about that has a hysteresis curve). BTW, where is that info from? I haven't seen anything about thrust persisting when the power is off. This is not necessarily a cause for alarm, unless they still get positive thrust when they go back to the lab the next day.

I find skepticism becoming harder and harder. Unless they find something in the magnets (which they may), it really is going to shake up physics. And even if they do, we'll know more, since the "obvious" errors were all ruled out, so
something unusual is going on. Granted, the case of an "interesting error" is less exciting to an average person, but it'd have its uses as well.
Skepticism is fine, but sometimes it results in discarding potential discoveries. In general, it often occurs that once a constant has been measured wrong, the value will "drift" over to the correct one over time. The reason is, the next team determining it will often find the earlier paper, find their own results (even if they're correct) not matching it and continue messing with their equipment and cherry-picking data until they kinda-sorta match the old value. The next team does the same, except referencing the previous teams' value (closer to truth, but still wrong) and so on, until they zero in on the right one, which may take years. Too much skepticism with regards to your own results might cause experimental discoveries to be delayed greatly, especially if there doesn't exist a theory that would predict them.