Macbook Pro 14 inch - M4 Max - Dual external monitor

I might also add, some of these Dell Docks need a special firmware to work properly. It is best to upgrade their firmware while connected to a Dell Notebook support USB-C/Thunderbolt. That will ensure that the update happens correctly.  I used to work at an all Dell shop that went to a shared workstation environment where people who select the table they wanted to be at with their notebook. The downside, was not all the purchased docking stations were up to date on their firmware leading to many machines not getting enough charge or displaying on all the monitors. Once the docking station firmware was updated on all 80 desks I supported, it worked smoothly.

that appears to be a 2560 by 1440 display with:

Analog VGA

HDMI 1.4

DisplayPort 1.2

MacBook Pro M4 MAX has a direct HDMI output that can run one display easily. if you buy a new cable, it should be a "PREMIUM" or "ULTRA" rated HDMI cable.

if you plug in the power adapter for that Windows-centric Dock, it still should be able to support multiple displays AND provide up to 90 watts power PROVIDED. it is using a genuine ThunderBolt lead-in cable (the host module has EITHER a USB-C only or ThunderBolt module). Genuine ThunderBolt should have the ThunderBolt trademark.

MANY users have issues with Dell docks. Your displays appear to have modest enough bandwidth requirements so that the dock SHOULD be able to support those two displays at once-over ThunderBolt, but only ONE over USB.

Extended desktop on the Mac is a selectable option. You need to be certain you have turned off [√] Mirror displays to get the full effect.

A Thunderbolt dock uses a Thunderbolt connection (not just a “plain” USB-C one) between the computer and the dock.

Other World Computing, SonnetTech, and CalDigit carry many such docks.

The Dell dock that you are using appears to be a Thunderbolt one. The quad display support may be an issue here - a Mac might only support two of the outputs on that dock, and you might have to experiment to find out which two worked with extended mode for a Mac.

https://www.dell.com/en-us/shop/dell-thunderbolt-dock-wd22tb4/apd/210-bdqh/pc-accessories

Does the Dock give visibility to both displays on the displays System Settings?

If it does, you may need software like EasyRes.

SwitchResX and DisplayConfigX are two other titles that offer more flexibility on display settings.

Have you tried connecting via different USB-C/Thunderbolt ports on the computer? Some may give different power.

Have you tried to see if it is an issue of the computer not getting any direct power from the wall? Sometimes the low power mode can make the ports not give out enough signal for the displays.

There are several good docking stations for Macs. Those by Brydge (Stone Pro) and OWC are among the highest-rated. Personally, I use a Stone Pro dock with my MPBs (M1 Pro and M4 Pro).

What you call a HDMI to Thunderbolt cable is almost certainly a USB-C (DisplayPort Alt Mode) to HDMI adapter that does NOT use Thunderbolt. Vendors often advertise those as Thunderbolt-compatible (a Thunderbolt 3, 4, or 5 port will have a USB-C connector and will typically support both Thunderbolt and DisplayPort Alt Mode).