Thanksgiving Was a Triumph of Capitalism.
They had utopian Christian dreams which were rapidly shattered. A New Jerusalem. They really did feel that they were on a holy mission that had nothing to do with money (except insofar as they owed quite a bit to their sponsoring corporation - which they were never able to repay).
Meanwhile, at the same time and a short distance south, New Amsterdam was a prosperous and rapidly growing Dutch colony. They had a good port and a handy river, but also a spirit of freedom (and diversity!) which the Puritans lacked. I don't think the earlier Dutch settlers had a Thanksgiving in New York. They were too busy making money.