The monitor you have didn't properly implement the Thunderbolt spec, and since Windows has looser adherence to the spec than macOS, things work fine.
This happens with web browsers every decade or so. "Browser X" follows the Javascript spec to a tee, which breaks millions of poorly written websites, so "Browser X" has to degrade its performance or lose market share, and thus we have lots of sites that are out of spec.
Make sense?
I have evidence in other domains, as per my example.
But thanks for moving the goalpost. /salute/
OP asked for an explanation, I gave one. Was it correct? I don't know, I just provide reasoning skills.
(A corollary to this are the forum posts starting with a technical problem and ending with the OP saying "figured it out!" and no further explanation :)
I've been using a Dell U2515H for almost six years on my late 2013-model MBP and thunderbolt port, never had an issue. I'm also going through a Henge thunderbolt dock. It's not a macOS problem.