I was wondering the same thing and hoping something like this would work in the Core X with a 2021 M1 Max 16" Macbook
Yes, it will work, but you will also need a graphics card with a DP output since the base HP desktop doesn't have a DP port.
The SUNIX card only supports DP 1.2.
If the graphics card only supported DP 1.4, you would need another card, for example the Gigabyte GC-Maple-Ridge.
The Gigabyte GC-Maple Ridge works with your Gigabyte Z790 UD AX and can do much more than DP Alt Mode.
And you won't need to use a charger.
If you have a PCIe x4 or x16 slot available, you can use the Gigabyte GC-Maple Ridge for the task you have in mind.
Thunderbolt won't work on incompatible motherboards, but DP Alt Mode will. I don't have the card anymore, but when I got it I didn't check if USB 3.2 10Gbps was working. I think it is since it uses USB3 tunneling, and not PCIe tunneling like on Thunderbolt 3.
The Dell WD22TB4 tech specs say nothing about MST and DSC, but since it supports up to 4 displays at 4K 60Hz, I believe it supports MST and DSC. Connected to the RTX 2060 SUPER via the Gigabyte GC-Maple Ridge, you should experience more video bandwidth thanks to DSC.