There are certainly bandwidth limitations. As far as I can find, TB4 may be able to handle dual 4K max and your Dell ultrawide is more than standard 4K. So I wouldn’t be surprised if there are problems negotiating two more monitor signals through the same connections (even though they are not so super high res).
It’s nice that when split between two interfaces, they all work! I’d expect that as soon as you throw a 4K in the mix, it’s going to be tight for the rest.
You could try and see if you can get them all running through a single connector by setting a lower resolution (are they even recognized if you chain them together?)