MBP on TB3-Dock ignores USB-Devices until reconnect
To my knowledge, there's no such security feature in macOS.

On my system I can easily connect the MacBook Pro with a closed lid to my dock (OWC Dock) and USB devices automatically reconnect.

I would test if this happens with all USB devices, or just with the audio interface. 

In case it is generic, contact Kensington support to report the problem. I have checked their web site, and it seems they have no firmware updates or the like available for the product.

In case it is specific to the audio device, contact RME to report the problem, and check if they have firmware updates, driver updates or similar available.