Here's a very short video showing the exact location of Cursed Thralls on the Dreadnaught to melee them. Multiple thralls spawn and you can regain your health easily between melees. These thralls won't even go for you as they act as a kind of suicide bomber against the Cabal.
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Thanks so much for this post. Most of the other posts on the topic said to do it at the end of Sunless Cell. Between my teammates killing the thrall and Dark Blade shanking me in the back after I'd get 2 down I was getting ready to give up on the bounty.