(a) A word of caution here. Terms such as "thesis" and "dissertation" mean different things (sometimes opposite), depending on the country, and, even within the same country, on the college or university. When I got my bachelor's in physics (in the US) many moons ago, I was required to complete a thesis, which, at my school, meant an original research project. That was a rarity. Recently, I talked to a student who was required to complete a thesis for her bachelor's thesis in physics at a small US college. I was surprised. But turned out that her "thesis" was essentially a term paper, in which she read texts and research papers in depth, and then wrote a summary paper.
So, if your "thesis" requires original research, there can be value, since you get actual research experience, which can be valuable in determining whether you want to go for a PhD and which can be valuable as experience listed on a resume, in case you decide not to pursue a PhD: you learn a lot more doing actual research, rather than just taking courses. But if the "thesis" is essentially a term paper, I wouldn't bother.
(b) That said, in the US, a MS Physics doesn't amount to much. A MS in EE, ME, or CS can prepare you for a career as a lead design engineer. But if you want a career as a principal in physics-related R&D, you will typically need a PhD in physics (there are always exceptions). In my grad school, we got the MS simply upon satisfactory passing of 1 yr of required grad courses. It was really a consolation prize for students who failed to pass their qualifying exam (this term also varies by country and university; at my school, it was a comprehensive written exam based on the required first yr grad courses. You were given two shots at it.)
