RE: Dell TB15 Desktop Dock - Step-by-step driver/firmware/BIOS installation instructions for XPS, Latitude and Precision notebooks
Yes, you are right. The fan speed problem happens when plugging anything to the thunderbolt port (I tested with not only TB15 dock, but also USB-C ethernet adapter; other people also reported fan noise problem when plugging USB-C to HDMI/VGA/USB3/Ethernet adaper to XPS 15 9550), even without really using these plugged devices.
I think it is really a problem of the thunberbolt 3 USB-C port! Hope that Dell will have answer/solution to this problem soon.