Why are drivers not working in Windows 10 with bootcamp?
In case it helps others, I got a response from Apple that it just isn't supported on the 2014 MacBook Pro. Another user on the Apple forum (https://discussions.apple.com/thread/7419574) has confirmed this on his 2014 MacBook Pro.

This post (http://forums.macrumors.com/threads/thunderbolt-hotplug-on-windows-10.1819920/) suggests that it works on a limited number of 2014 Mac computers but not all as the official FAQ suggests.