This is working as designed. You can see this in the online XPS 17 9710 External Display Connection Guide. Direct Output Mode on uses NVIDIA GeForce RTX 3060 Max-Q discrete graphics cardDirect Output Mode off uses the integrated graphics In your monitors case, the RTX 3060 cannot show the pre-Windows low resolution screens.
I am using a new Dell XPS 9710 (RTX 3060) which is directly connected to my monitor via a DisplayPort cable. Direct Output mode is enabled and the lid is closed. For the most part everything seems to be working as expected, except for the fact that the pre boot output is not displayed which is very inconvenient because my SSDs are password protected and I have to guess when the input field for the passwords is ready. This problem occurs only when Direct Output mode is enabled. If Direct Output mode is disabled, the pre boot output will be displayed on my screen.
XPS 9710, DP to monitor, no pre-Windows screens