You will always need to eject any connected drives prior to undocking your MacBook or you risk corrupting the drive. The DockApp software, designed exclusively for the Horizontal Docking Station, can be set to do this for you automatically (with the exception of Time Machine backups which macOS handles differently) from within the Settings tab of the software.
There are various ways to eject a drive but we will only demonstrate one in this article.
Open Finder from the dock
Select the drive you would like to Eject
and click this icon
You can now safely remove your MacBook from the docking station.