<span>There is no italicized pronoun, but since there is only one present in the sentence, I give you this answer:
When chicken eggs are hatched, <em>they</em> are weak and barely able to move around.</span> They here should refer to the "chicks" However, in the sentence it looks like it refers to the "chicken eggs". This is incorrect. The pronoun, then, is an (2) implied antecedent and needs to be stated. Instead of the given sentence, one should say: When chicken eggs are hatched, the chicks are weak and barely able to move around.
The answer to your question "Why is it important that the thesis statement appear at the beginning of your essay?" Is the second option, It promotes the scope, purpose, and direction of the essay.