https://www.phoronix.com/scan.php?page=news_item&px=MTg2NTY
Though if you follow the DP MST keyword there's still some corner cases being polished...
https://www.phoronix.com/scan.php?page=search&q=DP%20MST
https://www.phoronix.com/scan.php?page=news_item&px=DRM-Misc...
The Mesa drivers Ubuntu (and Debian, and many other distros) provide CAN be rather old. As you mentioned Ubuntu, follow the directions here to have a stack that's as updated as possible.
https://github.com/ValveSoftware/Proton/wiki/Requirements
I also tend to like checking Arhc Linux support page, but it doesn't seem to be helpful for this issue: https://wiki.archlinux.org/index.php/Radeon
I tried the latest proprietary amdgpu-pro drivers also.
I even bought the RX 560 because some other Linux users assured me the AMD Linux drivers were excellent. My post here is to help other people so they can make a more informed choice in the future.
I even tried the AMD pro drivers. Granted, the open source nvidia drivers couldn’t do it with a 1030 on 18.04 either, but the proprietary ones had no issue.
edit: I should note, the RX 560 runs fanless up to 60c on Windows, but the fans always spin on Linux.