User blog comment:Tiredman2/Mass Effect Plot Holes and Contradictions/@comment-24.76.84.236-20120824032415/@comment-5337704-20120824070153

You didn't miss anything. It is possible Shepard knew about some weapons needing thermal clips, but I chalk it up to bad writing, been easier to say, weapons now use thermal clips, you'll have to find one. But the game is also designed for those who didn't play ME1. So for consistincy sake, they choose to go with the new to ME series route.