I think the "Thumbs" file is a leftover Windows file that ended up zipped with the character. It has something to do with image thumbnails on Windows.
The colored background is because GameMaker 7 dose not have support for images with alpha channels.
"SuperSized.gif" can have as many frames as you want.
I went ahead and added my old Gimp Tuts here for you to look at: https://hijoke.itch.io/extra-rig2-content/devlog/1502252/gimp-tuts-for-making-yo...
There is info there that can help when making your own character.