Figured out how to change brightness on thunderbolt display! You have to have both USB and Thunderbolt cables plugged in.

The Thunderbolt Display does not have a USB cable, only Thunderbolt and MagSafe. You must have the similar looking LED Display, which has Mini DisplayPort, USB, and MagSafe. A Mini DisplayPort plug will work in a Thunderbolt 2 socket (but not in a Thunderbolt adapter).

The LED Display's needs it's USB cable connected for its brightness control and rear USB ports to work.

How to tell these displays apart:

• 27" LED Cinema Display – which requires Mini DisplayPort input – has model number A1316. It has three USB 2.0 ports, but no FireWire 800 or Gigabit Ethernet ports.
• 27" Thunderbolt Display – which requires Thunderbolt input – has model number A1407. It has the three USB 2.0 ports, plus a FireWire 800 port and a Gigabit Ethernet port.

That display is also called Thunderbolt Apple Thunderbolt Display - Technical Specifications