This is a known failure mode, but it doesn't hit everybody. It is solely an Apple software fault as older OSs do not exhibit it. I really wish I knew what the issue was.
On the plus side, I found this so infuriating that I finally threw all in and switched to Linux full-time (Lenovo X1 Carbon with a ThinkPad dock) and haven't looked back since.
Side note: practically every thunderbolt dock I have works fine with every x86 laptop I have running either Windows or Linux (including the Caldigit!). YMMV.