After I tried to run the MBP with 2 external 1080p displays using just two identical dongles and facing no issues at all, I gave the dock a second try.
It worked quite well. No issues with kernel tasks going crazy or fans spinning to death.
I assume that temperature control kicked in at that time when I put the MBP in my stand which partly covered the air outlets. I didn't expect that much impact of the thermal control at all. The dock itself (located right beside the MBP in that stand) also produced heat. So the kernel task kicked in and throttled the whole machine.
Now, with everything set up with the dock, all USB devices, monitors and peripherals, I am happy again. Only a single Thunderbolt 3 cable is needed to run the machine and connect to the outside world.
I did a stress test with everything I need in my daily job (and beyond running all the music software stuff on top) and the device was still chilling. No issues with memory or CPU at all. Everything was easy, fast and stable. This is what this upgrade is all about: to handle everything with ease and not just "on the edge". Using macOS also will increase usability and productivity for me. Notes runs in a Parallels Win 10 VM and Domino in Docker. Thanks to Daniel & Thomas who made this possible. By the way: I'm using the container with a host directory mounted as a persistent volume which gives me the feeling of having Domino natively on the OS. This is helpful when you have to copy customer NSFs to Domino to check them out.
During the next weeks I will transfer all the important data from the Thinkpad to the Mac. What I do not miss won't make it to the new machine - similar to a basement storage. What you didn't miss over the past 6 months, can be recycled or moved to trash.