It's a common American expression. "Thanks for checking in" can mean:
- Thanks for getting in touch.
- Thanks for asking my opinion.
- Thanks for staying in contact.
- Thanks for asking how I feel.
- Thanks for asking about my health.
- Thanks for calling/texting/emailing.
In this case, it means: Thanks for contacting me directly.
To check in is usually to make a brief, informal one-to-one contact. For instance:
- Don't worry, I'm fine with all the decisions the company made while I was away. It's good of you to ask. Thanks for checking in!
- I wasn't sure you really wanted to go to Rome, so I thought I'd check in about it.