Not sure this applies to all Thunderbolt drives...but did find an answer for the LaCie 2big Thunderbolt, which does apparently let you pass through the connection with the power "off".
For more energy savings, the front power button even lets you turn off the product without breaking a daisy chain connection.
I have two LaCie Thunderbolt 2big drives - one 4TB and on 8TB. They are, of course, at the beginning of the chain with my Thunderbolt Display at the end of the chain. When my computer sleeps, so do the LaCie drives - and I think that this may be only with these LaCie drives as my FW800 G-Drives don't sleep.
So if you just want to let them sleep when your computer sleeps, they'll do that. And if you want to power them off (for whatever reason) you can turn them off shile still using the Display.