Have you tried to load another Linux system? For example try to download Ubuntu 20.04 and load it LIVE from USB/DVD without the actual installation and test your dock. This will help to make sure that your currently installed operating system is not to blame.
Just out of curiosity. Is your Thunderbolt Controller detected by the fwupdmgr tool using your current Ubuntu system?
Other than that you may try to upgrade the Thunderbolt Controller firmware. Although I have upgraded the firmware on my laptop using this tool multiple times without any problems, be aware that it always comes with risk.
Proceed with caution !!!
$ fwupdmgr refresh
$ fwupdmgr get-updates
$ fwupdmgr update
For example I’m also currently due to upgrade:
$ fwupdmgr update
• ThinkPad Thunderbolt 3 Dock has no available firmware updates
Upgrade available for Thunderbolt Controller from 43.00 to 44.00
Thunderbolt Controller and all connected devices may not be usable while updating. Continue with update? [Y|n]: