Some power IC's have thermal under them, are they used for heat dissipation?
If so why we need drills in that plane, any how its not exposed to air. What is the use of those drills (thermal pads)?
The word "thermal" says it all: Yes, for heat dissipation.
The drills are to spread the heat throuch the PCB to other (copper) layers (No need to be conducted) ... and to the opposite side.
This all reduces the thermal resistance package_to_ambient.