Well, they do. If you take a slab of steel and cut a hole in it, you will weaken it. Period. You are right though, Spydercos are good folders and well designed ones, but their blade's overall strenghs would be significally higher without the thumbholes.
Red Guy,
I work in the engineering industry (I build custom CNC mills and other customized machines) and I know that steel can actually be strengthend by stratigicly places hollows. Lets look to nature: most insects have hollow bones (exoskeloton) which make them incredibly strong for their weight. Ants can lift over 50 times their weight. Another example is I-beams and other extruded beams that have amazing stress abilities. I know these are not dirrect examples, but my point is that just because their is a hole in something, does not mean that it is weakening it. Deterimining stress points in steel can turn into an incredibly dynamic process. It's just not as simple as see hole, see blade break.
I am not in anyway saying that a hole in a blade automaticly makes it stronger, it most likely does make some porely designed blades weaker, but I am saying that a well placed hole may not affect strength.