I am sure lots of eGPU work, just like my 1080Ti never ever officially supported by Apple. But it works flawlessly in my cMP now.
However, it work doesn’t mean that’s supported. As long as it’s not officially supported by Apple, anything can happen.
Yes, what I'm saying is that it sounds like Vega will become an officially supported eGPU option by Apple soon. At least that's what third party eGPU vendors have been telling people. But I've also heard specifically Apple is not supporting Vega yet for eGPU in the current macOS releases, only in a future macOS release.
In addition, it's likely that Apple blesses eGPU on the third party Nvidia drivers after eGPU is out of beta. Nvidia is already part of Apple's official third party driver program.