DisplayPort is preferable to HDMI 2.0 because it has more bandwidth to allow 4K 60Hz at 10 bpc without chroma sub sampling:
WAVLINK Thunderbolt 3 to Dual Displayport 1.4 Adapter, Single 8K@30Hz & Dual 4K@60Hz or FHD@144KHz Display, Compatible with 2016 above MacBook Pro and Some Windows
www.amazon.com
Using DisplayPort means you are not stuck with the HDMI adapter that is built into the Thunderbolt dock. Newer and better DisplayPort to HDMI adapters arrive periodically, and you can upgrade to one that best fits the capability of your display (HDMI 1.4, 2.0, 2.0b, 2.1).
www.club-3d.com
But you want power delivery to charge the MBP. Get a Thunderbolt dock with one DisplayPort port. Connect one display to that, and the second to the free Thunderbolt port of the dock (using an adapter)
Docks with more than one display connection (or more than two display connections when there's no second Thunderbolt port) probably use a DisplayPort MST hub for the other display ports. macOS does not support MST for multiple displays. Alternatively, the dock may use DisplayLink. The manual for the Lenovo ThinkPad Thunderbolt 3 Dock Gen 2 doesn't state what method it uses. It also doesn't state if the HDMI ports support HDMI 1.4 or 2.0 (but you say 4K from HDMI works in Windows so I guess it is 4K but you didn't say if it was 30Hz or 60Hz).
Anyway, with the Lenovo connected to macOS, you should be able to use one of the DisplayPort or HDMI ports, and connect a second display to the free Thunderbolt port.
In Windows, you can use Intel Graphics Control Panel (not the Intel Graphics Command Center) to show DisplayPort topology - it will show if there's an MST hub connected to the ports. If it's DisplayLink, that should appear as a USB device in Device Manager.
The
StarTech-com-Thunderbolt-Dock-Powered-Docking supports only two displays and does not have a second Thunderbolt port which means it probably doesn't use an MST hub or a DisplayLink adapter. It only has one HDMI port though.
The
Cable Matters Dual Monitor USB-C Dock is the first USB-C dock that I've seen that can switch between USB 3.x with 2 lanes of DisplayPort and USB 2.0 with 4 lanes of DisplayPort. It's really expensive even though it's not Thunderbolt. It's not Thunderbolt so it uses a second connection to support a second display (I haven't seen that before either). The
USB-C Docking Station for Windows has a similar switch - it's not good for Macs because it uses an MST hub to support two displays.
The
Cable Matters Thunderbolt 3 Dual HDMI Mini Dock has two HDMI 2.0 ports but doesn't support power delivery.
