No, you're not missing anything... it should just work. I have four FW800 drives daisy-chained to my Thunderbolt Display - and they just work. I'm on a 15" late 2011 MBP running 10.8.2 as well.
Something's up - either with your Display, your TB connection or the drive. I suspect the Display or the drive. Is your Display still under warranty? Even if it's not, I would first try it out with a different FW drive (Western Digital is notorious for just not working with Macs) or, if that doesn't work, take the whole unit into your local Apple Store or AASP.
I was afraid of that. Like i said - it works fine when i unplug from Display and plug right into Laptop. It pops up within 2-3 seconds. Sounds to me like it may be the Display Firewire port. Unfortunatly i dont have anything else Firewire 800 to test it with. I will pull receipt this weekend and see if still under warranty. I think it is.
Thanks for the response.