Sorry, I see now I left important information out.I use the dock with the screen. And I have an external keyboard setup, the external keyboard controls the ASD and the keyboard on my MBP controls the MBP screen.
If you want to control ASD with your MBP keyboard, try hold control + brightness up or down
My MacBook is clamshelled.
I have a Magic Keyboard with Touch ID connected directly to the Studio Display through a Lightning to USB-C cable.
When the MacBook is connected directly to the Studio Display with a Thunderbolt cable the brightness control work as expected.
If I connect a CalDigit TS3+ Thunderbolt dock between the MacBook and the Studio Display the brightness control of the Magic Keyboard with Touch ID (which is still connected directly to one of the display's USB-C ports) stops working.