Thanks for posting! Certainly strange behavior you describe when your laptop goes to sleep. The normal behavior while connected to our dock is that all open windows and programs will stay in place once a laptop goes to sleep and wakes again. There could be a number of explanations as to why this is occurring on your system and I am not sure how much we can help resolve the behavior, but it sounds like your internal graphics processor is shutting down completely and with that the DisplayLink software is shutting down which dries the monitors connected to the dock.
In efforts to replicate what you are seeing, I tested on my own laptop with Windows 10 while connected to our UD-3900 dock but was unable to produce the same results. A few follow-up questions for you:
If possible, could you try to connect your monitor directly to your laptop in order to remove the dock from the equation? Do your programs stay in place when waking from sleep while directly connected?
Also, if possible, are you able to connect your dock to another system and see if you experience the same behavior when another system goes to sleep?
When your laptop goes to sleep, are you closing the lid or is it going to sleep on its own after sitting idle for some time?
With this additional information the behavior can hopefully be narrowed down.