For other readers, this is not technically correct. The 2020 13” MacBook Pro can drive the Pro Display XDR with its integrated Intel graphics.
This limitation is specific to the MacOS drivers. Windows in Bootcamp is able to drive 5120x1440 on these devices.
https://apple.stackexchange.com/a/221498 and https://apple.stackexchange.com/a/233854 has how to fix this. It doesn't sound much fun though.
I have two different monitors that wake up at very different speeds and it's no problem here. My 15" 2013 and 2015 macbook pros had no problem with this either, and I've had 4 different monitors in the mix through those years too. I've transitioned to a CalDigit Thunderbolt 3 dock now and still no problem with it remembering.
So there's definitely something unique about that monitor. That is sad news for me too -- I'm hoping they make a 2x4K ultra wide monitor like that someday. Hopefully they've solved this problem by then.
https://support.apple.com/en-us/HT210205
I currently have the Apple LG 4K but plan to upgrade to the 5K.
I agree with you on the just works thing. I have the same keyboard, trackball, monitor, tbolt dock and external HD on my desk at home and work.
The fact that it was all one physical monitor may have further confused the OS as a sibling comment mentions.
The solution was to sell the monitor to a Windows-using architect friend and buy a different panel with a resolution MacOS supports. She has a macbook too but it's the fancy one with discrete graphics which can drive 5120x1440.
The value proposition of MacOS to me is that I plug things in and they work. Any fiddling beyond that destroys the benefits of using this platform. I'm willing to iterate on hardware until I find something that works.