Hi, this is update of the case.
The latest driver did not change the situation. Anyway I manage to find the reason and solution.
The time when it was working directly connected to laptop was during the laptop bios 1.90, where intel rolled out 1st version of Meltdown & Spectre update. That bios was then pulled back due to reboot issue, and I installed older bios version 1.84. It was during this period that the NIC refused to work directly connected to laptop. I have tried many ways including reinstall fresh Windows 10 but still it failed to work directly.
Few days ago intel rolled out latest version of microcode update, and Dell responded with bios 1.91. I installed this bios, and out of a sudden the Sanlink3 T1 has worked as normal, no need to go through Thunderbolt dock anymore.
This is really a very strange and rare case, but at least it is solved by now.