I have a CalDigit TS3Plus+ dock hooked up to my 27" Thunderbolt display via a mini-displayport to USB-C dongle.
I operate my MBP in closed lid mode.
Before the CalDigit, I could reboot my Mac into Boot Camp, simply holding down the Option/Alt key and all was well.
Now that I have the CalDigit, when I hold down Option during boot, the select screen appears on the laptop screen that isn't visible.
If you're not using the MacBook Pro's internal display, can you mirror them so it shows on both?
BTW, I have the Caldigit TS3+ and love it!