2019 27” iMac with eGPU

Hello, I recently purchased a Razer Core X and AMD RX 5700XT in hopes of better gaming on my 2019 iMac. When selecting the “Prefer external GPU” for my selected games, I receive horrible performance on the iMac’s internal display. If I attach an additional monitor directly to the GPU however, I see the performance boosts I expected. Is this normal? I thought these components would be compatible with OS Catalina. Any help would be greatly appreciated.