Preposition usage: "Envious at" vs "Envious of"

In your examples 'envious of' is used before a characteristic or possession the other person has. This is the same as "I'm envious of your car" or "He's envious of their success". This is the most common use of the word 'envy'.

'Envious at', however, precedes 'at the thought of' and the thought is not the source of your envy, it's an event, related to the source, which has triggered the envy.

'Envious at' can also be used with 'sight', 'sound' and other words describing trigger points. For example "I was envious at the sight of Raj driving his new Porche", "Alan was envious at the sound of Bella's virtuoso piano playing" or even "Clarissa was envious at the feel of Deborah's cashmere cardigan"

In summary 'envious at' relates to events or other stimuli which trigger envy whereas 'envious of' relates to the object, condition or possession which is the source of the envy. A rare case of a grammar checker picking up a subtle error correctly!