I am having the same issue even after following all diagnostic steps.
I have updated the dock firmware as of November 3rd. All other updates are complete for windows as well.
I use the following hardware. HP 27" ER display and HP 27" ES display.
I am using the following adapters. DP to HDMI with the supplied HDMI cables for the monitors in conjunction with my surface dock.
https://www.amazon.com/gp/product/B01N2Z4H7X/ref=oh\_aui\_detailpage\_o05\_s02?ie=UTF8&psc=1
The Surface Dock still does not allow the monitors to go to sleep when the SP4 is asleep.