Can't connect Dell Docking Station WD15 to my MSI laptop

@SpanishYN  actually I can tell that there's a fairly significant issue with your WD15 setup that would even affect your Dell work system, even if you don't currently realize it because you say everything works perfectly.  But I'll address that at the end.

First, the light on the WD15 cable only seems to light with supported Dell displays, even if it still works completely correctly with non-Dell systems.  My wife has a Lenovo laptop for work and the WD15's light doesn't come on when she plugs that in, but the dock works.

In terms of the lack of video, the likely cause is that the MSI laptop does not have a GPU output wired to its USB-C port.  That capability is optional on USB-C ports and is necessary to send a video signal to the WD15.  The specs page for that laptop here makes no mention of video capabilities on the USB-C port.  While that by itself isn't proof that they're absent, typically specs pages would mention a capability like that, and the real-world observed behavior that you don't have video output even though the other devices work (all of which just communicate over a conventional USB data channel) is further evidence of that being the case.

But the issue I see that would affect even your Dell laptop is that you're using a WD15 with two displays whose native resolution is 2560x1440.  The WD15 doesn't support running two displays at 2560x1440.  It only supports dual displays up to 1920x1200 or a single display up to 2560x1600.  So if you're running those displays simultaneously and they're at the same resolution, they're probably running at 1920x1080, which is the typical resolution of a 24-inch display.  That means you're putting up with blurriness from running a display at a resolution lower than its native resolution, and of course significantly reduced display workspace, all because you've got the wrong dock for your display setup.  If you identify the exact Dell laptop model you have, it's possible that it would work with another dock that would support dual 2560x1440 displays.

I had the same thing with previous laptop (lenovo and anker dc). Unfortunelly, i did'nt find any good solution. I just bought another docking station (some of these if i'm not mistaken (and changed my laptop to acer later). But did you tried to delete drivers and install again? Usb drivers, i mean