Oh, great. So it is a completely different matter...
I think I achieved it via Ethernet. But I had to mess up with the system configuration files via Terminal. It's probably possible to do it via WiFi as well, but it would require much more technical knowledge, because one can enable the Internet sharing via WiFi only if.. there is an internet connection.
Still, it isn't exactly something you do from the Control Panel. I think the best option for you would be to buy a couple of Powerline Adapters (PLAs), with two ethernet ports each, and then connect both the Mac and the TV to the two ethernet ports in the same PLA. The other would be connected to the router. In this way you would have a straight 100Mbps connection between the Mac and the TV, and also Internet connection in both. Obviously you would need to buy the Thunderbolt to Ethernet adapter as well for the MBP.
Otherwise you can do like I did. My MBP connect well via WiFi 5GHz to the router (at about 200Mbps). I have the TV connected via PLA (and thus via Ethernet) to the router. In this way I achieve maximum bandwidth between the MBP and the TV (90-99Mbps, stable). It changes more depending on the protocols used (DLNA, SSH, WebDAV, NFS ecc) than on the physical connection itself.
