Thanks I did get a response directly from a Microsoft employee.
There is a 'handshake' or negotiation that occurs whenever you connect a Surface to the Surface Dock. This process requires power, so if there is no power on the device to complete this handshake then it will not connect and thus the Dock will not supply power to the device.
The Dock cannot charge a completely depleted device because there's not enough juice in the device when totally dead to be able to respond to the SurfLink requests for "what Surface device type are you" and/or "what power levels and accessories do you support?", and thus it won't charge the device until it can. Once a device has been on a charger for a minute or three, you can plug in the Dock and it should continue charging at that point.
I have actually not seen or heard of this issue with other Surface Pro devices, but apparently this has always been the case.