I'd just like to point out that the walk cycle animation includes the thicker version of the legs, while the walk animation, and the piece posted with all the frames, includes the thinner legs version. That may have caused a bit of confusion.
But, yeah, I personally agree that the thicker legs are better, and more realistic, as those skinny legs have me questioning how it would hold up the body attached to it. All in all, I like the concept a lot more than the sprite so far, I think you should study it a bit closer and incorporate some more things from it into your sprite. It also shows a lot of personality, which while your sprite shows some, I think it lacks that of what is shown in the concept.