I see the same issue is still continue on macOS 11.5.2 on MPB 16inch 2019. My monitor is DELL P2415Q and thunderbolt 3 dock is HP Thunderbolt Dock 120W G2. This occurs on only 16inc MBP15 2019, others like macbook 15inch 2018 or macbook 13inch 2017 can play audio via display port + thunderbolt3 dock.