Linux

Yeah worst come to worse, it just "doesn't work" - but its not like it would be damaged just because drivers/firmware aren't installed. I would bet most people don't even install the drivers right away in Windows either, they just plug it in and see if it works - and then if it doesn't work they may do some further digging to why (leading them to the drivers/firmware that is potentially needed).

I'm assuming this dock just has ports for video output, USB, etc on it? I'd expect most ports to work, with the only potential one not working out-of-the-box being video depending on how Dell implements it. My only experience with docking stations is an old Star...something dock, and that worked in Linux with no issue, I think at the time I had to install a DisplayLink driver since that was the video output tech that it used to send video out through USB (and even then, older models already had a built-in kernel driver, I just had a much newer one). These days with the prevalence of things like Thunderbolt/USB-C I wouldn't be surprised if everything works out of box just fine.

I did do some quick research on dell docking stations in general, the only one that needed any manual intervention was their TB16 docking station. Apparently that one does require some firmware to be installed for a few components of the laptop that is required. Did you ever run Windows on this laptop? If so (or if the laptop itself is just relatively new), that firmware should've already been installed long ago via Windows Update as this information was from about 5 years ago.

Either way, I'd say just try it and see if it works - if it does, then you'll be able to skip the hassle of trying to get Windows installed (either via a live environment, or via a dual boot)!