The penalty is about 25% for my setup, but I'm still using a TB2 MBP and an external SSD on the same TB port. I think that's fair but of course with TB3 the performance penalty should be less.

But there are unfortunately other things to consider. In my case the Echo express enclosure is not made for Graphic cards and you have to modify it to make it work - done in about one hour when you are really careful. The wait for Pascal drivers was sad. Other than that the only other thing that comes to my mind is that you cannot remove the MBP from the docking station before shutting it down. (I have read that sleep should also work but it does not for me)

Edit: If things work really depends on the exact setup. I have just seen the video posted in another comment (https://www.youtube.com/watch?v=yho3rCNfzGE) and it looks like I have just been really lucky with my setup.