Apologies for the Dell confusion, I do understand you have an HP laptop and dock (corrected that in my previous reply).
HP has an article about this which includes a BIOS change that may help in the scope of the HP dock: https://support.hp.com/us-en/document/c06575423
Otherwise, I’m afraid you may want to consider returning the graphics adapter, as while it is compatible on its own, it doesn’t not fully fit in with the HP dock.
Thanks!
Mitchell