MacOS Mojave 10.14.2 ignores the order of network services

I have a problem that drives me crazy. My company has a Wi-Fi network that does not allow me to connect to multiple services when connected.
For this to work, I have to connect via Ethernet (this is not an option, by the way: D)

A few weeks ago I bought a USB-C Thunderbolt dock for my 2018 MBP with Ethernet connection. This port is displayed in System Preferences -> Network, and I can easily cancel WiFi, and my Mac uses the attached connection.
Once I connect to Wi-Fi, MacOS will prioritize the wireless connection.

I have in the System Settings -> Network, the priority of the "Thunderbolt Ethernet Slot 1" moved up, and Wifi below (even at the very end!), But MacOS ignored this simply.

Any ideas on how to debug this?