What power source My Dell 5560 will choose?

Your laptop will switch to the original charger and accepting only one power source for charging.  So, no, it won't kill your laptop.  You can verify by running with battery power, then plug in to your dock, and finally plug in your original charger, all while you are in diagnostics and looking at input voltages.

I don't get it, the docking stations needs the power supply that comes with, so u are telling me to connect the Docking station without the charger on?

Sorry if my post is causing any confusion.  You still need to plug in the power supply to the dock during test.  That was the whole concern from your post. 

The test was meant to verify that only one power source was used to charge your laptop.  Power on your laptop with battery power only, use F12 and select diagnostics, hit Esc twice to pause and navigate to the screen which has sensor status for fans, temperatures, and power (charging, discharging).  Note that no charging voltage values.  Connect your laptop to the docking station via thunderbolt cable, it will detect power source and will charging your laptop.  Note that there is a charging status with voltage values.  Now, plug in the laptop AC adapter to your laptop, you will see that the voltage will bump up to the max designed charging around 13v from laptop AC adapter.  No combined voltages from both sources.

So, your optimal operating power is from the laptop AC adapter.  But it's safe to use the laptop charger while connecting to the powered docking station.