The more FM's I play, the more different themes I see, in things like architecture, location, elements, and visual direction.

There are missions out there that emulate the MC Escher style of bizarre buildings like the original Thief mission The Sword. Small town missions, mansions, banks, sewers, snowy areas.. The uniqueness and breadth of scene is probably the most appealing thing about Thief FMs to me. But not everything has been made in Thief so far. What are some FM settings or designs that you haven't seen and wish you could?

For me there are a few. First, in visual direction, I have to mention this one.
https://www.thiefguild.com/fanmissions/4075/fables-of-the-penitent-thief
Judging from the screen shots alone and a trailer video, this mission has totally won me over. I have never seen such a beautiful and unique idea for Thief's art direction in an FM, and doing things like this -where the entire style of the game is made over- is something I would gladly welcome more of. To a lesser extent the visual style of https://www.thiefguild.com/fanmissions/7004/waterfront-racket is another example of completely changing the look of Thief.

Another is your classic train mission. Put Garrett on a moving passenger train, where the entire mission map consists of multiple train cars in motion, the top of the train, and the linking outside areas between cars, and you must rob the passengers of their belongings, or even some more valuable cargo being transported. This seems like the sort of thing that would fit right into the setting of Thief.

The one I originally thought of when making this post was a Blade Runner/Deus Ex style mission. The building architecture could be modeled strongly in the brutalist style, lights could get inventive in more neon/colored variants. There would be a lot of opportunity for thief-like objective ideas in this sort of mission.

Well we already have a train mission in Zontik's Patriot campaign:
https://www.thiefguild.com/fanmissions/9350/patriot

The train is rather short and it's a cargo train. The mission is quite linear, too. Thus I agree with you that something more sophisticated would certainly be fun. Some time ago, I've seen somebody working on a project like this. I remember screenshots, but I forgot who that was now. Anyway, passenger trains are an excellent place for criminal stories, pickpockets and bigger robberies.

"Blade Runner/Deus Ex style mission" would for sure be very interesting.

T2X: Shadows of the Metal Age also has train mission somewhere in the middle of campaign. Also R Soul's campaign All Torc (2nd mission)

Valky, I don't know much about Deus Ex style exactly (how it could be done in Thief) but colored lighting was implemented in Thief 2 and is in the lots of FMs for T2. Maybe I misunderstood you. As for stylistic similarities - I honestly don't know much. i've said about train mission in T2X and Konrad told you about Patriot (it's a hard campaign as I heard).

And - if you want to experience some stylistic or plot parallels between DX and Thief in Thief fan-missions (though it is really uneasy topic for me) and if you haven't played - I recommend you to play Mission X (it has a prequel, Gathering at the Inn - also good but short mission - but you can skip it if you want). It is not exactly what you are looking for, but it features some conversation system (almost like DX but without screen with your interlocutor) and it is about group of thieves infiltrating the casino (you are one of them) - to steal several important documents and to do some sabotaging. It was heavily influenced by Mission: Impossible (as it was written in readme) and captures spy atmosphere of DX very well (as much as Thief FM about thieves can: for some reason it also reminds me Dishonored) and features big and complex building of casino with some non-linearity in it (but I strongly recommend to do sabotage task first and not do delay with it). It can be a bit overwhelming at first. It also was made by creators of Fables.

Maybe other people can give you other answers))

I don't mean the gameplay of DX, just a futuristic brutalist FM that has a cyberpunk style setting, like the Blade Runner movies.

I doubt there is any cyberpunk-style missions. Only maybe some futuristic FMs like Sliptip's Kill Factory series (especially, Escape From the Planet of the Robots), or Spoonman's TSR-1000. Three Distinct Adventures by Cardia. Also, maybe, GORT's Rebellion of the Builder (hard, as I've heard).