Blizzard has explained how the Gleaming Incarnate Thunderstone works, noting that it grants a separate appearance with lightning effects for Normal and Heroic Tier. However, the Mythic and Elite PvP Tier Sets are currently bugged and will not have lightning until Patch 10.0.5.
Class set items from Mythic Vault of the Incarnates and Elite PVP are intended to display lightning visual effects. These effects are typically attached to the shoulder and helm items.
