So I do not have a TB dock, but I do have two different TB3 eGPU enclosures at the moment. Adding the thunderbolt module to mkinitcpio’s MODULES list did not really change any behavior regarding my eGPUs. They both still really want to be plugged in at the SDDM login screen, not before, not after, especially on X11. Plugging in at any other time gives a high probability that my external monitor will not get a valid signal, won’t show up in xrandr, etc.
Looking forward to the day when either X11 or Wayland are hot (un-)plug capable, but it really does not appear to be that way right now.