i think JKR also said on her website, that harry didn't couldn't see the thestrals before because he didn't actually see his parents die - he was in the cot and could only see the green light etc.
i'll try and find it from her site.
edit finally found it, after reading the FAQ 2398472 times, i remembered it was hidden under the dark mark -___-
Q: "why could harry see the thestrals in 'order of the phoenix'? shouldnt he have been able to see them much earlier, because he saw his parents/quirrell/cedric die?"
A:
i've been asked this a lot. harry didn't see his parents die. he was in his cot at the time (he was just over a year old) and, as i say in "philosopher's stone", all he saw was a flash of green light. he didn't see quirrell's death, either. harry had passed out before quirrell died and was only told about it by dumbledore in the last chapter.
he did, however, witness the murder of cedric, and it is this that makes him able to see the thestrals at last. why couldn't he see the thestrals on his trip back to the train station? well, i didn't want to start a new mystery, which would not be resolved for a long time, at the very end of the fourth book. i decided, therefore, that until harry is over the first shock, and really feels what death means (ie, when he fully appreciates that cedric is gone forever adn that he can never come back, which takes time, whatever age you are) he would not be able to see the thestrals. after two months away from school during which he has dwelled endlessly on his memories of the murder and had nightmares about it, the thestrals have taken shape and form, and he can see them quite clearly.
