Thanks for contacting us, and I would be happy to help with your new docking station!
The behavior you describe is certainly not expected, so our next step is to get some additional information. Can you let me know the following?
What specific model host system you are connecting the dock to, and what version of the operating system is installed?
Can you confirm you are using the Thunderbolt 3 cable included in the box with the dock to connect it to your system? (3rd-party cables can sometimes cause problems)
If you connect a different external drive to the dock (if you have one available) and repeat the same test, does the behavior change?
Thank you in advance for your patience, and giving us the chance to help!