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It only "just works" if you are using the correct dock and the correct cables. My Surface Pro with Windows 11 refuses to do dual monitors at 4K unless I use the actual Microsoft Adapter cables (USB-C to HDMI) along with the actual Microsoft Dock.
Your problem isn't that Linux can't do what you want, it's that you have to have the correct hardware setup...and so does Windows.
My surface pro just decided one day that all external monitors will only be mirrors of the primary display, and that they will be 800px, not 4k. Nothing I have tried has fixed it. I finally gave up and started using my much older Arch laptop for those purposes.