In windows and Linux, hot plug is working, in macOS it is not working normally.
But with the tbt hotplug ssdt applied for Maple Ridge, I can confirm that while hot plug doesn’t work as it should in macOS (I.e., a hotplugged device should connect as soon as it is plugged in), entering and resuming from s3 sleep allows the hot plug procedure to complete and then the hotplugged device connects normally. But yes, for now, you should connect your tbt device(s) prior to booting.
Finally, some older thunderbolt devices, specifically some of the JHL6240 variety, don't hotplug with Maple Ridge even in windows. Seems that there is a bug in v26, 26.5, and v29 of the Maple Ridge NVM firmware. Gigabyte is aware of the problem, and so is intel. No word on when a fix will be available.