I know it has been several years since this thread was active, but I thought I would post my solution for anyone that is still looking for a possible solution.
First off, let me say that I have been dealing with the nicest woman in level-two tech support with Apple, as well as their engineering team (yes, it was escalated up that far). They have looked at disk images of my MacBook Pro 15-inch, mid 2015 with Retina display and my iMac 21.5-inch, late 2013.
Quite by accident I found the solution. I read on another site that the Thunderbolt and the Mini DisplayPort share the same port. So ... I was wondered if perhaps I was not plugging my Thunderbolt cable into the correct port. I unplugged it from one port and into the other (even though they both had a little Thunderbolt icon). Then my eye caught that the roundness of the cable was not matching the squareness of the port. So I unplugged the Thunderbolt cable and gave the end a good hard stare ... (whispering to myself) oh, my, god. For the last two months I have been plugging and unplugging my Thunderbolt cable in upside-down. Who knew that was even possible?!? I plugged it in the correct way, mashed down Command+F2 and the screen changed to my MacBook Pro (I almost cried).
So YES, I am an idiot. I can only hope someone else is an idiot like me and this helps them.
Take care and please enjoy this free laugh on me.