Hi Erwin,
I bought the dock in Europe from Expansys, which is a online store. There was no problem with the dock ever, except this monitor stand by thing. Since it's an online store, I can't visit them. Surely I could send back the dock, but it would take 2 weeks at least, and I use it for my work, so I have to be sure that this is a hardware problem and it will go away if they replace my piece.
I one more thing, to SandeepLiveCa and everyone else! If I connect a monitor with a miniDP-(HDMI or VGA or anything else) converter the monitor and the dock works fine. But since I use a 4K monitor and I need the 60Hz refresh rate, I must use the miniDP-DP cable since over HDMI I couldn't use the 60Hz refresh rate! So if I use a monitor with lower resolution, or 30Hz refresh rate is enough for you in 4K than the miniDP-HDMI cable is a good choice, it'll work fine!
Erwin! At Microsoft, did you ever tried to connect a Surface Pro 4 to the docking brick, connect the brick to a 4K (!) monitor with 60Hz refresh rate over a miniDP-DP cable and let the Surface down to sleep mode? It's a really easy experiment, I think you should try it!