Same issue here..... 2018 15" MBP, 2.9GHz, 32Gb, Radeon Pro 560X 4Gb, 2x Dell P2715Q 4K external displays, USB-C -> DP, with essentially no CPU usage (srsly, a browser and RDP client, not doing a freaking thing) would get high kernel_task throttling and maxed fan speed. EXACT same behavior happened with my 2015 15" MBP, 2018 15" MBP AND 2020 16" MBP (which I returned).... Seems like it's the worst it's ever been. Tried in clamshell mode, open, in a dock, out of a dock, same behavior. Only thing that prevents it is turning off displays. For example I cant do video conferencing with 2 external displays in clamshell mode, kernel_task goes crazy immediately, but it works if I do it with one display (but even with one display I'll hit it if I do anything too CPU intensive). I've also tried moving cables around to different ports, disabling turbo boost, blowing out dust (which can be legitimate sometimes), the reset PRAM/NVRAM song-n-dance more times than I care to remember, no change.
Another thing I wanted to note is that I'm pretty sure Catalina has introduced a change in how it reports kernel_task CPU usage when it throttles. I've experienced the throttling for going on 5 years so I know how it "feels".... Prior to Catalina, I could feel it starting to throttle, things would start to get sluggish and fan speed would start to increase even tho you weren't doing anything. You'd jump over to Activity Monitor and sure enough kernel_task was revving up. After Catalina I still experience the same throttling BUT Activity Monitor does not report the kernel_task CPU usage until a certain threshold (not sure what that threshold is but it doesn't show it until it gets really bad). It seems like they didn't want users to be able to see that kernel_task is throttling, at least at lower levels anyways. Seems like a deceptive move as it leaves users running sluggish but they cant see why. And now when they go to report it all they can say is that it's "slow" which doesn't tell you anything. If they could report that kernel_task had high CPU then that would tell you something.
Honestly, I think the only thing that will make Apple acknowledge this issue is yet another class action lawsuit. Seems like that's the only thing they listen too these days...