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For my 2016 MPB I've bought a Kensington SD4600P, not facing particular issue with virtual machines in general (including Windows 10).
But I sometime get an annoying problem with it: when I wake the Mac from screensaver, display look slow like my computer was about to freeze but it's not, everything is fine when I unplug HDMI display.
If I plug HDMI with another adapter it works again well.
I have to reboot my Mac to get things back to normal.
I don't know if it's an issue with the Kensington or the Mac itself...
Many thanks for taking the time to reply, appreciate it, and I'll have a look at the Kensington, its good to know that the devices can pass through to the VM
At first I thought VMs caused the issue I mentionned (I also use Virtualbox and almost always have 1 or 2 VMs running) as it seemed to happen only when they were running but later I notices it also happens without any VM running.
To avoid that, sometimes I let the amphetamine app run during my lunch time and prevent the Mac from getting to sleep. Not 100% perfect but in general it works.