I would say definitely don't go with any USB 2.0 docking stations if you're looking for gaming performance. If you're using USB 3.0 then I'd imagine it would be fairly decent, though having absolutely no performance loss is impossible.
On the other hand, Sony's Vaio Z series has shown that USB 3.0 is somewhat sufficient for the purposes of docking stations since the Z2 and Z3 have specially made dock accessories which contain a graphics card and optical drive. Not a particularly good graphics card, and it's not a standard USB 3.0 port, but I haven't seen any negative reviews about its performance relative to other systems where the graphics card is internal, so I'd imagine it would also work fine with the screen being external rather than the video card.
On the other hand, I actually have one of those systems myself that I've never used, only it has an integrated screen rather than an integrated GPU. I'm no expert on judging performance, but I'll try it out and see if the loss is significant enough for me to notice. Can't guarantee a timely response though, the next few days will be very busy for me.
EDIT: Well... I already tried it for a little while, and although I have had issues they seem more related to my specific setup rather than the hardware being insufficient. Initially everything was going fine, after installing the proper drivers I was prompted to restart my computer despite the monitor already working almost perfectly. At that time there did not seem to be any extra delay or framerate issues with the "docking port" serving as the hub for my monitor, mouse, and keyboard. I did notice some slight visual issues which looked like very minor compression artefacts, but very few. I used it like that for a while, then restarted as prompted and suddenly the monitor would have massive issues where the picture would freeze everything but the mouse. Dunno why that happened, but I doubt I'll be able to check the gaming experience of the dock with that happening all the time.
Anyways, my very short time with it working normally didn't show any performance loss that would affect usage unless you are extremely determined to get the absolute best experience possible down to the last fraction of a percent.