I tend to have the MBP in clamshell mode and connect my display to the eGPU (4K LG monitors).
When I not-so-nice hot-unplug without telling the OS, it goes to the login screen on the internal display + internal GPU, and when you log back in the session is restored with a stern warning that hot-unplugging without telling the OS is bad.
Note: by default you get no boot screen from EFI on the eGPU on TB2 models, never did a boot on a TB3 MBP with the eGPU attached in clamshell mode, probably doesn't do it there either. I suspect something with GOP or some other EFI graphics protocol not enjoying TB3-TB2 adapters. Not much of an issue for me; I can either do a FileVaul2 unlock on the internal display (or blind), or do an fdesetup authrestart to bypass FileVault2 login on the next reboot.
I am using a TB2-3 adaptor and a mid 2015 MacBook pro with the same script you are. I have an Akitio Node with an RX580. Mostly, it's great, but I basically need to shut down to efficiently disconnect.
FWIW, having an eGPU on a laptop makes you really appreciate how few things are really GPU accelerated in day to day life. (cough, cough, Fusion360 and Lightroom).