Edit: some more explaining: Brightness on an external screen is controlled by the controller in the external. The macbook will only pass video information though whatever port you choose to use. No "commands" can be sent to the screen that way. If you want to play with brightness, you'll have to use the external's menu buttons.
Only an Apple display like the Apple Thunderbolt Display will function with the keyboard's brightness keys. Third party displays must be done physically on the monitor.