funny, in phpThumb.config.php default line was uncommented:
$PHPTHUMB_CONFIG['document_root'] = realpath((getenv('DOCUMENT_ROOT') && ereg('^'.preg_quote(realpath(getenv('DOCUMENT_ROOT'))), realpath(__FILE__))) ? getenv('DOCUMENT_ROOT') : str_replace(dirname(@$_SERVER['PHP_SELF']), '', str_replace(DIRECTORY_SEPARATOR, '/', dirname(__FILE__))));
..and phpThumb succeed in saving files into 'cache' dir, but was unable to delete any files.
I setted $PHPTHUMB_CONFIG['document_root'] mannualy and it works!
So, doublecheck if $PHPTHUMB_CONFIG['document_root'] is correct.