I think that's a facet of the docking station, then.
I've frequently used external monitors, via HDMI, DisplayPort, and Thunderbolt, and I've never seen the dot, when using either extended desktop or mirroring.
Assuming your dock uses this, it does look like DisplayLink does, in fact, use screen recording to manage a virtual display interface... therefore I'm going to say 100% it's down to the way their software is working, and not a fault of the OS, per se.
https://support.displaylink.com/knowledgebase/articles/2008685-macos-screen-recording-permission
As far as the OS is concerned, your screen is being recorded, and that's why the dot is there, just in case you didn't want/know/expect that.