I have created some Treasuries and I'm very happy and grateful to have been included in some. As you said, there are thousands of talented people here and the curators pick your work!
I also feel that Treasuries are a bit strange. You basically promote someone else's work in the entrie Etsy community, and FB, Twitter wherever that Treasury might end up and help buyers find sth to buy. You haven't met the artist and you haven't even seen the work in person, yet you promote them and you cannot include your own work.
What I find disappointing is a) Treasuries get buried immediately among dozens posted at the same time, b) Some people don't even thank you for the inclusion, which I think is rude, even when you send them a message to let them know, c) they don't always generate lots of traffic to your shop and d) to get featured in the front page, the Treasury has to have specific background, style etc.
I enjoy creating them but I do them when I am able to and have inspiration about sth as they are quite time consuming.
You don't have to create one. You can thank the people for including you, you can add their work in your favorites, you can add them to your circle....there are other ways you can show appreciation. You shouldn't feel guilty about not creating a Treasury.