Hi czarnikd,
Logically, the external drivers are connected to the USB hub inside the docking station. While the system goes to sleep mode, all peripherals are also disconnected.
I can suggest an experiment described in this article:
Fixing USB disconnects on sleep on MacOS
It could be a compromise between selectively power off e.g. displays while parts of the system would be kept operational.
Regards,
Szymon