I don't have a guaranteed answer, but perhaps I can point you in the right direction. I suspect it could be that your VPN is configured to recognize/require recognition of your laptop's NIC (network card). So, when you connect Ethernet directly to the laptop, it works. However, when Ethernet is connected to the dock, it's your dock's NIC that is seen and it is not recognized as a valid connection.  Investigate whether that dock offers passthrough support, whereby the laptop NIC's MAC address would be visible through the dock or the dock would spoof the laptop NIC's MAC address. It might be called something like MAC address override, MAC address passthrough, MAC address spoofing...
I have an issue with my new Laptop (Latitude 5540) and Docking Station (WD19S) concerning logging into my office VPN connection. If I plug my ethernet cable directly into my PC, I have internet access, and I can log in to the VPN.  But if I plug the ethernet cable into the docking station, and connect the docking station to the PC I get internet, but the VPN connection is refused? I am using a Powerline Ethernet adapter (router upstairs, home office downstairs) Anyone seen this before? Dell Support were helpful, but we did not solve the problem I have updated all Firmware/Drivers    
VPN Issues With Dell WD19S Dock