I can confirm it works here is a screenshot of my UEFI BIOS setup from my XPS 13 2 in 1 9265 attached to the Dell Dock TB16 which is attached via HDMI to my USB 3 Capture Device which is attached to a USB 3 port on my XPS 8300. The XPS 9365's lid is closed. In Windows change what closing the lid does when plugged in is set to do nothing. The system is then shut down and then powered up via the button on the Dell Dock. [F2] is then pressed to enter the UEFI BIOS setup.
Dell docks would use the same USB-C/Thunderbolt connector, specifically the GPU outputs wired to them, so I doubt they'd perform any differently. However, some systems including my XPS 15 9530 only display boot-time video on external displays if the system is powered up with the lid closed. I don't know where the Power button/switch is on the 9365, but if that's not possible, then you can try powering it on and closing the lid immediately. Alternatively, boot it up, close the lid while in Windows, and then restart while the lid is still closed. If even that doesn't work, then boot-time video on an external display may not be possible on that system, though I agree this would be frustrating for the reasons you describe.