If they can smooth out peaks - if, say, a bunch of people set their thermostats to cool at 2pm so they spread that out over a 10-15 minute period, or they have some folks run AC at 2-3 and others 3-4 - they might need to also run a lot less wasteful energy production.
As with most things, there are good and bad ways to use this ability.
I would prefer if the two entities are separated though. The thermostat should come from a private company that optimizes for the weather locally and possibly takes in data from the electric company through an API so the end user has more control and the motivations for both entities stay intact.
As with most things, there are good and bad ways to use this ability.