I found the problem.
It turns out that it has nothing to do with the Thunderbolt Display, but with Bluetooth and the Magic Trackpad.
When I installed the TD, I also added a wireless keyboard and Magic Trackpad that I had been using with another system.
If the option to allow the system to wake up by Bluetooth devices is enabled (system preferences, Bluetooth, advanced), the MacBook Pro will go to sleep and immediately wake up.
Simply disabled that option and everything works fine.
Now I need to open the lid of the MBP to wake up the system. Kind of a huge power button :-)
Thanks for your help!