I come back with good news. I finally found how to solve my problem.
I first thought that I just needed to update the Thunderbolt driver and the chipset firmware, but it was not enough. I tried to configure thunderbolt software, allowing the use of Thunderbolt devices not certified for PC.
Finally, the display started to work only after I went in the BIOS setup and select "BIOS Assist Enumeration" in place of "Native Enumeration" for the "Thunderbolt Auto Switch" parameter.
Now, all is fine ! My two Apple Thunderbolt displays works fine with all fonctionalities (integrated camera, integrated speaker, usb ports, ethernet port) and using the Apple adapter Thunderbolt 3 to Thunderbolt.
Hoping this will help you.
I took a photo of my new XPS 15 9570 next to my Macbook Pro 2014 still in use for my iOs developments.
The XPS multitouch trackpad is very pleasant to use with gestures close to Macbook Pro (to one, two, three or four fingers gestures)