Had my car from new and, coming up to 76k miles, I've never experienced the symptom you describe; therefore, if anyone's trying to tell you this "thud" is a quirk of the gearbox - and they're all like that - they're talking nonsense in my view!
I'd have it checked by a specialist (either a main dealer or a reputable independent) and see what they say; is the car still under a warranty?
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