Dell WD15 Dock with 2017 MacBook Pro
Solution 1:
This is a hardware limitation.
I tested Dell WD 15 with my 2016 Macbook Pro 15. I used VGA and HDMI to connect my 2 monitors with Dell WD15 but Mac recognized both monitors as one.
Later, I connected one monitor with Dell WD15 and another monitor directly with my mac through USB-C to VGA and it worked fine.
Solution 2:
Allright, just confirmed that this product is not fully compatible with a MacBook. The dock doesn't communicate powerinfo with the Macbook so doesn't supply it with enough power. (Charging takes more than 10 hours.) Other peripherals do work.
USB: Works
Ethernet: Works
Display: VGA/Displayport/HDMI Works
Solution 3:
First off the dock actually does not have Thunderbolt as you write - it is instead a mini-DisplayPort connector. Dell has a much similar product called TB15 which has Thunderbolt support. The WD15 does not. Note that TB15 was discontinued/recalled because of stability issues, and a newer product named TB16 is now available.
Dell does not support macOS for this product, so they do not express any guarantee that it is supposed to work with your MBP running macOS.
Dell writes on their support page (linked below) that the dock does not support 3 monitors in "extended mode" (i.e. each monitor is independent). With a 3rd display connected via VGA that display will always be in "clone mode" (i.e. just a mirror of another monitor).
http://www.dell.com/support/article/us/en/19/sln296829/how-to-use-and-troubleshoot-the-dell-dock-wd15?lang=en
This seems to be a hardware limitation, and thus no driver changes or software hacks will ever allow you to run 3 independent displays.
In addition to this, your MacBook Pro does not support MST (multi-stream transport) via the USB-C cable you plug in. MST is required for this dock's "extended mode" to work even with just two monitors.
I would recommend buying a dock that specifically supports your Mac. For example the Belkin Thunderbolt 3 Express Dock HD, although it will still only allow connecting 2 ordinary (i.e. non USB DisplayLink) monitors to the dock.