Okey guys, i made this account so it may help if someone do not get the quest to start. I just got the both bindings. Did about 30-50 runs of the vault and 3(!) runs in NL.
Did not get any diagloue that popped up. So i decided to go to cullen's post then just ride the dragon up to the top and there i just spoke to Thrymjaris and choosed the wrong options so i just did a arena skirmish then talked to him again. Then i got the quest, went to AH and bought the infernal brimstone then went back and completed the quest. You will get a new item - just click it and the thunderfury skin is yours