The only effect thermal lag will have as far as I am aware is to simply slow the reaction to any change in brightness. If you try and change the brightness quickly you will run into problems, the lag will mean you don't notice the fast transient changes, but regardless you do see the overall effect. It might take a few hundred ms to change, but I don't see how that would be an issue for dimming the whole seven segment display.
If you use PWM, yes you are still giving it full voltage for some of the time (on time), but you are giving it zero for the rest. This will reduce the overall power through it. Less power dissipated means less heat which means less light output = dimmer.
PWM dimming works with filaments fine in slow response systems like this, it is how household dimmer switches work.