When you set aside your ten stitches on nice flexible yarn and then add a couple of stitches and pick up the remaining stitches on the other side you're not closing the hole for the thumb.
There will still be a hole there and when you go back and pick up the stitches on the yarn holder, to knit the thumb, you'll be knitting a little "tube" that will cover the thumb.
Think of it as a little "thumb sock" without having to turn the heel!!!
Hope this helps you visualize it!