Unless you're in Europe.

> As part of the EU’s REACH Regulation Annex XVII, a restriction banning Bisphenol A (BPA) content in thermal paper above 0.02% by weight came into effect on January 2, 2020. This prohibition was implemented due to health concerns associated with BPA exposure

so unless you're buying old rolls, or from non reputable sources, it shouldn't be an issue in the EU at least.

I’m fairly certain that a large percentage of people who buy thermal printer for fun do so from China, which has no regulations on thermal paper.

I thought that it was just replaced with similar molecules such as BPS, which has been shown to have equally bad effects.