For anyone else who has this issue - the problem was with the XPS 9510, not with the dock.  Basically, the "HD Audio Driver for Display Audio" did not appear in the "Sound, video, and game controllers" section of the Device Manager.  Reinstalling the Intel Graphics drivers solved the problem.
Hi, I have a Dell XPS 9510, connected to a Dell WD19TB dock, and further connected to a Dell U3415W monitor with built-in speakers. It all works - but I cannot get the XPS to recognize the U3415W as an audio output device - so I cannot play sound through the monitor's built-in speakers.  I can only play sound through the laptop's built-in speakers. This is 100% Dell - I would think it would work correctly - and I've tried a lot of various solutions. If anyone has any suggestions, I'd love to be able to get this to work. Thanks! CC
WD19TB - Won't connect to monitor speakers