I tried this out with my identical adaptor, which I had configured in the past. First it would show as not connected. Then it would show a self-assigned IP address. Finally it would connect.
Do you ever get to the point where it says "New interface detected"? It may take a while for this to appear.
If you click on Thunderbolt Ethernet and then on advanced, will it let you do anything? Like renew the DHCP lease?

If it still shows as unplugged, you can check the cable connections and try another Thunderbolt port if you have one or try the whole thing on a different computer if you have one. If you have a computer with an ethernet port, you can at least check to see if the ethernet cable is working.
If you have any other Thunderbolt device, you can check to see if the port itself is working.
By process of elimination, you should be able to zero in on exactly where the problem lies.
Good luck!