I have to comment here after the trouble I went to. For a start of, I've been building computers since 1989 and I can tell you that Macs suck without question.
Here's the solution:
Plug in your thunderbolt ethernet adapter connected to your modem.
It will say its not connected (even though it is) in Settings>Network
Press the + button at the bottom of the left pane.
Now you should be able to select 'Thunderbolt Ethernet' (these are the exact words you need to see - not bridge or 1 or 2 or anything. It must say 'Thunderbolt Ethernet'). Select it. If its not there, try a different thunderbolt port or wait a few seconds. If it still doesn't appear, then you have hardware issues and I can't help you.
After you have added it, it will still say its not connected. There are a million settings and variables but ignore them all and just do this STUPID APPLE repair:
Click Advanced (keep it in 'Using DHCP' mode), then click Apply.
That is all.
Be VERY angry at Apple. They have the worst Operating System the world will ever see. I just upgraded to El Capitan and now Cinch is broken. I don't know who the moron developers at Apple are, but they should all be behind bars. A backup I once made destroyed 15 years of data, and Apple did not apologise. Anyway, the solution above should work.
[doublepost=1456366499][/doublepost]Simple answer: Click the 'Apply' button after you have added 'Thunderbolt Ethernet' from the + button in the left pane of Network Settings.
The 'Apply' button is what makes it work.
Totally worked for me - thank you!