Yes, this depends quite a lot on the specific dongle/docking station.
Basically there’s two ways this can work:
Method A – Native Connection:
The dock is connected to your MBP transferring the native display signal from the computer and onto the monitors. This is typically with a Thunderbolt dock with DisplayPort signal in the alternate mode of the USB-C connector.
This has a relatively low impact on CPU performance.
Method B – DisplayLink connection:
The dock is connected to your MBP transferring data packets coming from your MBP and translating them into a display signal on its own. This is typically with cheaper USB-C docks.
This has a relatively high impact on CPU performance, as the computer will basically have to maintain a “virtual display” and uses the DisplayLinkUserAgent third party driver program to transfer that to the dock.
You’re currently on Method B – Display Link. I would advise getting a suitable dock that offers you native connectivity instead.