Hi,
Let's get this resolved by checking and installing all the updates available for your device. Make sure that your dock is connected to your Surface device while checking for updates. Also, download the Surface Dock Updated from this link. Once you click Download, check the box for SurfaceDockUpdaterSetup.msi.
If this doesn't help resolve your issue, we suggest that you visit the nearest Microsoft retail store or contact our Answer Desk.
Feel free to post if you have other concerns.
Followed all the steps above (the SurfaceDockUpdaterSetup updated the firmware of the Dock which took 15 minutes) and I re-checked for Updates. All looked good.
But unfortunately the problem still exists. Setting display to PC screen only doesn't stay. The external monitor wakes up again immediately after going to sleep.
Going to try Answer Desk before I bring this thing in.