Imagine if your house is on fire on Shabbos c”v and you pasken that it is assur to put out the fire in order to save your property. However, another Yid puts out the fire and saves your property. Do you thank him?
Saying “thank you” is the polite thing to do. If I were the person, I would say: “Thank you for your concern and time, but don’t you think that it is better to pray to G-d than to the Rebbe?”