Plug all display cables into the dock, at most in introduces 1-3ms extra of latency but with a usb C connection it might be next to nothing. Lower performance while gaming and when running other programs in the background is to be expected, it is still a thin ultrabook. The GPU drives the graphics regardless of being docked or not, a dock i just an extension of ports, it does not change how your system runs/performs.
When my XPS 13 is docked I actually don't have it display at all, I close the lid and have it connected to a keyboard and mouse + monitors all through the dock.