I don’t know if it’s because I bought a cheap display but I’ve had the same issue with my old 2014 MacBook Pro and now my 2019 MacBook Pro. The only difference now is the 2019 is going through a dongle with power and HDMI but the 2014 used the built-in HDMI and still had the same issue. So I don’t think it’s the dongle’s fault.
Without using a monitor in clamshell mode the MacBook Pro wakes instantly. If I put it to sleep with the external monitor connected and go away and come back I have to shake the mouse and press a button on the keyboard at least 50 times before everything comes on and I can log in. This gets very annoying fast.
I’m wondering if anyone else is having this problem? What monitors are you using with your MacBook’s in clamshell mode?