Why is third monitor always mirroring one of my other two?
The problem with your setup does not have to do with the resolution, as others have hypothesized. The problem is that the dock you're using is not supported on macOS for a 3-display configuration.

In practice, the HP Thunderbolt docks require MST-support for multiple displays from the system before they can enable 3 separate displays connected to the dock. MST is not supported on macOS for this purpose(in contrast to Windows), as thus it simply won't work.

You can connect two of the displays to the dock (as you have already figured out). The third display you'll need to connect directly to the MacBook Pro in order to get it as a separate display.