Thor is a bit of a tricky one. Marvel did not actually create the name Thor or Mjolnir as they are from Norse myth. As I understand it, Marvel can copyright the image/likeness of Thor they designed and use in their comics, movies, toys etc.. So if you were to make a hammer wielding brute named Thor in CoH but it did not look anything like the Marvel version of Thor, it's fair game.
Walt Simonson - famous for working on Thor for Marvel - did a Thor series for (IIRC) IDW a while ago. I want to say the title of it was Ragnarok, but not 100% sure. I believe even DC has a version of Thor. They just can't match the likeness of the Marvel one.
I would agree that no matter what, any character bearing the name Thor is going to get genericized. I imagine any character getting reported for potential violations is just going to get the name/costume reset no matter what.