No, it does not sound right to me (as a speaker of American English, BE usage may differ).

I can see why you'd ask, though, because urgent is a tricky word.

It is often used to mean "high priority" or "top priority" (the classic example: urgent action, which I understand as urgent[ly needed] action), but for me, anyway, its primary meaning is "calling for immediate attention". And urgency is the state/quality of being urgent. In your sentence, "you" did not do something with urgency, it was the something (or the need to do something) that was urgent.

I think you'd want to say:

Thank you for

recognising the urgency of this matter and taking swift action

for prioritising this matter

for giving this matter the immediate attention it deserved

or something along those lines.