Can you enable HDR? I'm using it with 2014-mid 15' Retina MacBook Pro with no HDR enabled. And perhaps with thunderbolt 2 bandwidth limit the framebuffer depth is 24-Bit Color(ARGB8888).
Thunderbolt 2 bandwidth should be able to support 4K60 10bpc. Thunderbolt 2 can't get 5K or 6K.
But that doesn't matter since you're using a Black Magic eGPU where the display is connected to the Black Magic eGPU's GPU instead of the MacBook Pro's GPU. Also, the connection between XDR and BlackMagic eGPU is Thunderbolt 3 which should allow 6K60 10bpc.
Try
AllRez to get all the info for the GPU and display and display modes. It mode show if any modes support HDR.
Do you see the XDR presets in System Preferences panel?
Can you show the list of Thunderbolt devices, USB device, and PCI devices in System Information.app?
For Thunderbolt, it should show the BlackMagic eGPU connection to the MacBook Pro as 20 Gbps x1 (link width x2), and it should show the XDR connection to the BlackMagic eGPU as 40 Gbps x1 (link width x2).
For USB, it should show a USB bus for the BlackMagic eGPU and a USB hub, and it should show a USB bus and a USB hub for the XDR.
For PCI, it should show a USB controller for the BlackMagic eGPU and a USB controller for the XDR.
I am curious about the USB speed from the XDR. Can it read or write more than 480 Mb/s from/to the USB ports of the XDR? Using a Radeon Pro 580 over Thunderbolt 3 for 6K60 should allow 1 Gbps for transmit and 5 Gbps for receive but Apple says the display is limited to USB 2.0 with this kind of connection so I would like tests to confirm.