P2415Q 4K, not working WD15 dock

@dan2021  Well you're right that video signals aren't carried over USB.  The reason the displays have USB connectors is to allow you to use the USB ports built into the display for peripherals you might want to use with your system.  But there's a much bigger problem with your attempted setup that you don't even realize.

The WD15 is a regular USB-C docking station that only supports DisplayPort 1.2/HBR2 over USB-C.  The XPS 15 9570 also only supports DisplayPort 1.2/HBR2, not DisplayPort 1.4/HBR3.  When using DP 1.2/HBR2 over a USB-C link that's also set up to support USB 3.x, as the WD15 will set it up to support, your video bandwidth is only half of a single DP 1.2 link.  That amount of bandwidth is only enough for a single 4K display, and even then only at 30 Hz rather than the standard 60 Hz.  So if you've noticed that playing videos, dragging folder windows, or even moving your mouse cursor all seem a little bit laggy, that's the reason why.  If you want to run the standard 60 Hz through that dock, you can run a single display up to 2560x1440 or dual displays only up to 1920x1200 each.  This is all explained in the WD15 user guide that you can find at support.dell.com.  (Dell's documentation is better than most and worth checking out when you run into issues before asking the Internet a question and hoping you get the right answer.)  Anyhow, running dual 4K 60 Hz displays requires 4x more video bandwidth than your system is able to get to that dock.

However, since the XPS 15 9570 supports Thunderbolt 3, you have an available fix in the form of a Thunderbolt 3 dock, specifically the WD19TB.  That dock can run dual 4K 60 Hz and also provide enough power to run your XPS 15 9570 properly, which other docks won't because that system is designed for 130W, which is above the USB PD spec of 100W.  Dell did something proprietary on certain docks and systems like the WD19TB and your XPS 15 to push 130W, but you won't find that implemented elsewhere.

However, be aware that although the WD19TB has dual DP outputs, you won't be able to use that port combination with your system.  The WD19TB can only allocate video bandwidth in certain ways, and those ways vary based on the DisplayPort revision supported by the attached system.  With a DP 1.2 system, half of the video bandwidth is allocated to the downstream TB3 port at the edge of the dock -- not to be confused with the USB-C port near the HDMI output.  So if you want to run both of your 4K displays at 60 Hz, you'll want to use a USB-C to DP cable/adapter to connect one of them to that downstream port, and then connect the other to a DisplayPort output.  If you connect both displays to the DisplayPort outputs, you'll only get dual 4K 30 Hz.

@dan2021  Happy to help.  A TB16 240W will also work for your setup.  The TB16 is the predecessor of the WD19TB, although if you didn't already have one I'd have discouraged you from going that route since it received far more than its fair share of complaints about reliability, stability, etc. -- even though the TB16 was itself a replacement for the TB15 that Dell ended up recalling.  But if it works, then by all means use it.

To answer your questions:

1. No BIOS changes needed, although I'd definitely make sure you're current on BIOS firmware, Thunderbolt 3 controller firmware, Thunderbolt drivers/software, and TB16 firmware.
2. No GPU changes needed.  The system's video outputs are wired to the Intel GPU, with the NVIDIA GPU operating only indirectly when needed. This setup is called NVIDIA Optimus, and it's how most dual GPU systems are set up. If you find that some application isn't using the NVIDIA GPU when it should be, you can try tweaking NVIDIA Control Panel's profile for that app, but in general the setup works well on its own.
3. Yes, both displays should be running 60 Hz if you're using the Mini-DisplayPort and DisplayPort outputs.  I can't remember whether the TB16's HDMI output supports 4K 60 Hz (that would probably be mentioned in its user guide), but even if it does, the HDMI input on the P2415Q might not support 4K 60 Hz, for the simple reason that HDMI didn't gain 4K 60 Hz support until HDMI 2.0, and that didn't exist in 2015, which is the "model year" of that display.  Side note though: Both the mDP and DP outputs are 1.2.  The full-size DP output is not 1.4.  You don't need DP 1.4, but I just mention this because you did.
4. Running dual 4K displays definitely puts more work on the Intel GPU -- the NVIDIA GPU won't be active just when using the Windows desktop -- and the Thunderbolt 3 controller chip actually consumes a fair amount of power and therefore generates heat.  Try running those updates I mentioned above, in addition to any Intel Graphics driver updates (the easiest way to get all of this is just to install Dell Update onto your system), but if your system is still using that much CPU, that wouldn't be normal.  You'd have to open the More Details view of Task Manager and then check the Processes or Details tabs to see what specifically is consuming that much CPU.

Good luck!