You won't see the thermal valve unless you have a reason to go looking for it. If you look at the back pressure transducer it has one line that goes to the EGR (firewall side). On the opposite side (radiator side) is a line that goes down between openings in the intake manifold. That plugs onto one port of the thermal valve. The other port on the thermal valve has a line that plugs onto a port in the throttle chamber. It's tucked under the intake manifold so you feel it more than see it. The whole purpose of the valve is to block vacuum to the EGR valve until the engine has warmed up. Simple. If you pull the vacuum line off of the back pressure transducer (radiator side) on a cold start and you feel vacuum, the valve is defective.

Speaking of the transducer they can go bad too. If the diaphragm gets a pin hole in it, the hot exhaust gas from the back pressure will cook it in pretty short order. Look for a bubbled scorched looking cap.