Microsoft acknowledged a bunch of compatibility issues hitting the Windows 10 May 2020 Update since launch, with one of them causing a compatibility glitch with Thunderbolt docks. Some Windows 10 users have been unable to install the latest feature update so far while Microsoft was investigating blue screen of death errors triggered due to "plugging or unplugging a Thunderbolt dock".
Microsoft has recently confirmed that it has removed the compatibility hold that was in place for PCs with certain settings and a Thunderbolt dock, and these machines can now install the Windows 10 May 2020 Update normally. Following the release of the July Patch Tuesday updates earlier this week, Microsoft updated the Windows 10 Health Dashboard to indicate that the KB4565503 cumulative update includes a fix for this issue (via Bleeping Computer).
If you haven't been able to get the latest feature update on your PCs with Thunderbolt ports yet, you should be able to grab it now via Windows Update. Microsoft noted that the "safeguard hold is estimated to be removed in the coming days," so it can take up to 2-3 days before the Windows 10 May 2020 Update will show up on your device.
However, since the problem has been resolved now, Windows 10 May 2020 Update through the Media Creation tool should now be possible. Notably, the Windows 10 Health Dashboard still lists 8 known issues affecting the latest feature update, and hopefully, these will get fixed too in the coming weeks.