Notifications are displayed when changing brightness with Fn keys - but notifications are not display when changing brightness by scrolling on Power Manager Plugin item in panel.
The notifications would be superfluous when scrolling - you already see the brightness value in the scale element that you are changing. Also the notification bubble would either be above the plugin menu (making it impossible to properly change the scale element) or below the menu, which would make it impossible to read. So the current is the correct and desired behavior.
I wanted to file a new bug with this text: For consistency changing the brightness with the mouse wheel hovering over the power manager panel plugin should also spawn a notifyd notification like changing the volume via xfce4-pulseaudio-plugin. I think that notuxius meant with this bug the same as I do. Changing the brightness by scrolling over the power manager icon in the panel without opening the menu.