I just started training with boxing gloves and noticed the same thing and it felt uncomfortable. I felt like I couldn't punch properly and had a loss of power

Because the thumb is located outermost among all fingers. It also serves as the strength of the fist by supporting the index and middle fingers.

Protect the thumb

Too them; it's the 'proper' way to hold their fist like that in boxing.

so you dont break your thumbs

They're constructed so that the thumb is placed along side the index finger, but a real fist involves placing it beneath the fingers. Why don't boxing gloves conform to the shape of a normal fist?