It means "Thank you for keeping me informed." The normal verb for me is "keep" rather than "include," which I've never heard before: Thank you for keeping me in the loop. (Note "the loop" -- you need the article.)
I think "include" could be used here, but we would say "Thank you for including me in the loop." It means "Thank you for including me among the people you have kept informed (about the particular matter in question)." "In the loop" is business jargon (and some would say that it's now rather hackneyed).