This has been a long term bug in multiplayer. Now that single player is technically a server now it happens there as well. Looking at the picture, you have on the left half a normal rainy day without thunder. In the old single player mode the sky would get darker as indicated in the right half of the picture. Thunderstorms no longer make the sky look like this. Not sure if this is an actual bug or if it's intended to look like normal rain weather now.
EDIT: I guess this is indeed a bug since if it "Works as intended" it wouldn't still be open...

What I expected to happen was...:
When a thunderstorm occurs, the sky would usually get as dark as the right half of the picture.

What actually happened was...:
Thunderstorms don't change the sky from left to right making it difficult to determine if it's a thunderstorm or not whenever it starts to rain. The sky just stays on the lighter half of the picture. Being that mobs spawn during a thunderstorm, it would be nice to know the difference between the two so that players don't have to play guessing games if mobs are lurking outside or not. I know I'm not the only one who finds this annoying... >_>

Steps to Reproduce:
1. Go into any world whether it's in single player or multiplayer.
2. Turn on rain downfall.
3. Turn on thunder using new weather command for comparison.
4. Sky remains the same rather than transitioning between the two.