When I close my MacBook - my Ultrafine 4K display stays on (I want everything to sleep)
This is normal closed clamshell mode for the MacBook so you would need to script a sleep event or to sleep your display:

Control–Shift–Power button or 
Control–Shift–Media Eject - https://support.apple.com/en-us/HT201236

You can make use of normal lock timeouts for screen sleeping, power savings and locking. 

If you had no keyboard or input devices connected, it should sleep automatically once the system detects you can’t type or mouse with the lid shut.