Doesn't work for me unless I turn Filevault off.
With filevault on, I have to open up my Macbook from Clamshell mode , type in my credentials to unlock my disks, and then close it.
From there on boot is normal and my eGPU connected displays + bluetooth keyb/mouse work normally. Before that none of those work.
HW/SW
2019 Macbook Pro 16"
Razer Core X 5700XT GPU
Big Sur