Think about it: in that context, what could someone possibly be signing to which a signed "Thank You" would not be a perfectly appropriate response? And even if the audience member was hurling ASL insults at the President, I think "Thank You" would be the least-bad response he could muster in spoken or signed communication.
If President Obama speaks sign language, that's impressive. If he doesn't, and acted this quickly and smoothly on his feet, that's even more impressive. For the record, though, and not to take anything away from President Obama here, every middle- to upper-middle class over-achieving American who's raised kids in the last 20 or so years knows a handful of sign language (Please, Thank You, More, Milk, etc.), so merely knowing "Thank You" is actually the least impressive part of the video.