I'm not sure that is a Thunderbolt docking station.
TobenOne – UDS033 TobenONE DisplayLink Docking Station Triple Monitor with 120W Power Adapter
"Purchase Notes
This docking station 3 monitors requires downloading and installing a DisplayLink driver before use.
NOTE: for macOS, Please follow these steps: Privacy & Security > Screen Recording > Allow "DisplayLink manager" to join in".
In other words, it is driving at least some of its video outputs using a second-class workaround.
"Note: DisplayLink has a few scenarios where it’s not the right fit such as gaming and HDCP (copy-protected) content playback from Blu-ray/Netflix/Prime/ iTunes/Hulu/etc. Not recommended for gaming or software requiring a dedicated graphics card. Not for gamers"
The description says that
"The DisplayLink docking station is compatible with Thunderbolt 5, Thunderbolt 4, Thunderbolt 3 and full-featured USB-C laptops, with macOS 11+ systems, Windows 10 or later, Chrome OS 100 or later, Ubuntu, and Android. DON'T support Linux/Unix. Note: Requires installation of DisplayLink Drivers before using!"
but that doesn't necessarily mean a thing. Lots of vendors of "plain" USB-C docks and adapters advertise their devices as being compatible with Thunderbolt. The reasoning goes something like this: Every Thunderbolt 3, 4, or 5 port, by definition, has a USB-C connector. Such USB-C ports tend to also implement other protocols such as USB and DisplayPort Alt Mode that are the ones that the "Thunderbolt-compatible" device really uses. Therefore, claiming Thunderbolt "compatibility" is a way to reassure Mac users that a device will work with the "Thunderbolt" ports on their Macs (which are actually multi-purpose USB-C (USB, DisplayPort Alt Mode, Thunderbolt) ports).
The thing may cost as much ($219.99) as some genuine Thunderbolt docks do, but from what I am seeing, it is not a Thunderbolt dock.
I would not blame the M4 MacBook Air for the problems you are seeing when trying to use it.