I'm no expert so correct me if I'm wrong
Picks come in a variety of thicknesses because of the demands of different string gauges, playing techniques and the type of sound they produce.
For example a heavy metal guitarist using a thicker string gauge will usually prefer a quite thick pick to be in control of the playing and to produce that truly heavy sound.
And a thin sharp tipped pick produces a sound with a pointy attack and a "click" or "flapping" sound, also known as pick noise, while a thicker pick with a round edge will produce a rounder sound with not so much attack and pick noise.
All the best