I have been using my MacBook Pro (Retina, 13-inch, Mid 2014 (currently running 10.12.4 Beta)) with a Thunderbolt Display. Today I (literally) dusted off an old LED Cinema Display to add a second large external display.

I connected the Cinema Display's mini DisplayPort to my Mac, but I found the screen was dimmer than I wanted. I tried a number of tricks to brighten the screen (F1 and F2 function keys on external keyboard (with multiple modifier keys), Control Panel, even a 3rd party application), but nothing seemed to change the brightness.

Then I connected the LED Cinema Display's USB cable, and surprise!, I could now control the brightness on both monitors.

For Cinema Display, F1 and F2 changed the brightness
For Thunderbolt Display, ctrl-F1 and ctrl-F2 changed the brightness

So, if you are using an LED Cinema Display with your MacBook Pro and are having troubles setting its brightness, make sure you have the display's USB cable connected to your Mac as well.