Isn't the 'System Volume Information' folder by default hidden from view?
When one sees this folder, it is most of the time because one has adjusted the appropriate setting in the 'Folder view', accessible through the Windows Control Panel.
To my (limited) knowledge, after formatting the thumb drive, the first time the thumb drive is accessed by Windows, the folder returns.
As Stoic already explained, it's a system folder and is in principal harmless.