Hi Jessie Tsai
Sorry for my late reply. After a round of testing, could you please try to use HDMI-HDMI to connect your second monitor? Because of the particularity of DP cable, the motherboard may still give priority to signal on your laptop screen when you start the laptop.
At the same time, please press and hold Windows+I to open Settings > On the tab of multiple displays Select to set show only on 2
In addition, please try going to system > go to recovery > select advanced
boot > reboot now > enter the advanced boot interface > select troubleshooting > click advanced options > enter the UEFI firmware setting interface > The following BIOS interface here is based on ThinkPad BIOS, and you can refer to Dell's method of entering the BIOS interface to find this options,as shown below:
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If you are going to modify BIOS Settings, please back up all your personal files first to ensure you do not lose data.
In general, the display before entering the Windows login screen (including the BitLocker screen) should depend on the device's BIOS. Or as mentioned by an engineer in the Dell Community below “it only works that way if an actual external power button was used to power the system on, as in the case of a docking station.” Click here for reference
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If there is any update, you are welcome to reply again.