It's a easy question really. When you feel the knife isn't cutting like it used to time to thin. How often that happens? Depend on the knife and usage.
Obviously, when the knife was ground very thin behind the edge it could go on without thinning longer compared to thicker knives.
When you sharpen knife you are touching just the very edge (ideally). So over time, as you grind more and more metal away from the edge it will became thicker. If it still performs nicely no point to thin.
But if you aren't happy with performance, and you think it's because of the thickness behind the edge then you need to thin it. It's a very personal thing actually. What is acceptable for me might not be acceptable for you and vice versa.
Western knives can be thinned as well, but you need to take into account their softness. If you make them as thin as Japanese makers do they would cut well, but for a very short period of time. Soft steel won't keep edge for long, it will roll and bend. So over the life of western knife thinning would make a difference towards better cutting, but you shouldn't try to make it as thin as Japanese knives.
I don't thin my knives when I sharpen them, because they are very thin already. But many times I've thinned knives right after purchasing, because their stock geometry was too thick for my taste.