m15, dual external monitors

You can definitely do that.  You do not need a dock to run dual external displays.  One situation where a dock can be useful is if you want to run your laptop with the display lid closed, because by default, Windows puts the system to sleep when the lid is closed.  You can of course disable this, but some people want to be able to put the system to sleep by closing the lid when they're away from their desk and still work with the lid closed when they're at their desk.  A dock helps in this situation because it gives you an external Power button for the system, so after it goes to sleep when you close the lid, you can wake it back up by pressing the Power button on the dock.  Without the dock, you can't access the system Power button while the lid is closed, and if you open it to access the button, then it will go back to sleep when you close it again.  However, external Power buttons are not standardized, so you'd need a Dell dock to do this, and even there, apparently not all Dell systems support the external Power button.

But if you don't care about being able to close the lid (or are willing to set the Lid Close Action to "Do Nothing" in order to avoid this issue), then just connect your displays directly and enjoy your setup.

@zer00s  Given that you're not going to be relying on the dock to power the system and not even Dell docks will allow you to power the system on with the lid closed, you're basically looking at any USB-C or Thunderbolt 3 dock.  Whether or not TB3 is worth it will depend on what display setup you want to run and whether you might want to connect TB3 accessories while docked, which wouldn't be possible with a USB-C dock since it would occupy the only TB3 connector on the system and wouldn't allow TB3 peripherals to be attached to it.  Dell's own WD19 and WD19TB would of course be worth considering, and then CalDigit makes the TS3+ and USB-C Pro Dock, both of which seem well regarded.  Thunderbolt docks with that system would allow you to run dual displays up to 4K 60 Hz each or triple displays up to 1440p 60 Hz each, and USB-C docks would allow dual displays up to 1920x1200 60 Hz each.

What doc do you recommend for the M15 to have the lid closed and two active monitors?

Reference :

https://www.dell.com/en-us/shop/dell-laptops/alienware-m15-r1-gaming-laptop/spd/alienware-m15-laptop/wnorn5chm155h