It’s easy to confuse an Archives Page and the archive pages, but there is a difference between the two — not only in WordPress, but also in how you approach changing their output in Thesis.
An Archives Page (which is something you can create yourself under Pages > Add New) is used to list all of the available archive pages (which are generated for you automatically).
thesis_hook_archives_template is the method Thesis uses to access WordPress’s Page Templates feature, instead of using a separate
archives.php file as many other themes do. Page Templates only apply to Pages you can create in WordPress yourself, and thus, this particular Thesis hook is only available in conjunction with creating an Archives Page.
By contrast, to change archive pages in WordPress requires a different type of template (for example, Category Templates are used to change category archives). In Thesis, the equivalent method for changing those pages would be the Thesis Custom Loop API.