HP EliteBook – Thunderbolt blocks connected USB keyboard and mouse before logon to Windows

My HP EliteBook 860 G9 appears to be 100% compatible with 40AN Lenovo Thunderbolt docking station. But there is some Thunderbolt security interfering: USB keyboard and USB mouse connected there are not doing anything before successful user logon to Windows 11.

I found that on HP machines, this has to be adjusted in BIOS setup. However, my computer has only a single option inside Thunderbolt Settings submenu:

[X] Thunderbolt mode

According to the help text, if disabled, only DisplayPort and USB-C are allowed, USB4 and PCIe transfers are not tunneled.

I have that option enabled.

Is there still some way to permit USB HID devices from Thunderbolt dock at Windows logon screen?