Retina MBP 2015 does not recognise third external monitor
It depends which MacBook you have. The cheaper ones only have integrated graphics processor (Intel Iris Graphics 6100) which runs from your CPU. The expensive ones have a separate graphics card (AMD Radeon R9 M370X) with 2Gb memory which supports more display or higher resolution displays.

Macbook with integrated Intel graphics:

Dual display and video mirroring: Simultaneously supports full native resolution on the built-in display and up to 3840 by 2160 pixels on up to two external displays, both at millions of colors.

Macbook with AMD graphics card:

Dual display and video mirroring: Simultaneously supports full native resolution on the built-in display and up to 3840 by 2160 pixels on up to two external displays, both at millions of colors.

Source: Apple MacBook Pro Retina specs - Graphics and Video support