Agreed on Thunderbolt.
Thunderbolt adds a 3rd usage for the Surface. You have tablet, laptop, and desktop. In one plug, you can get a powerful GPU, along with all the other accessories that you might have connected to a dock. You also offload all that heat generation from pushing images. I would expect that gaming would be much better with an external GPU since there is less need to throttle the CPU without the GPU heat.
For those not interested in an external GPU, it seems to be that the Thunderbolt may be gratuitous -- though the Thunderbolt would be a stock feature and would allow choosing from multiple dock options instead of being forced to use the MS dock for the SP3. By going with a Thunderbolt solution, you are also less tied into the Surface ecosystem if something better comes along in two years.
Yes. Sadly a GPU enclosure for with thunderbolt is almost 1000$ (lowest you can find), and you need to buy the GPU, and your own full size ATX power supply. Sadly, thunderbolt is too costly, and there is no market for it. Your best bet is that Microsoft releases an enclosure where you can slide in a med-range to low GPU, like a GeForce 750 Ti, in a dock station... that is VERY wishful thinking, because most consumers, and manufactures sees Intel integrated graphics as "good enough. Manufactures loves it, as it simplifies the design of the system, and it's a "free GPU" despite being priced in the CPU, and Intel treating it as an after thought, with poor drivers, and poor efficiency when pushed.
Personally I would love if Microsoft puts in a Nvidia or AMD GPU inside the Surface Pro, even if it's a completely downclocked model and performance is identical to Intel graphics solution to provide similar battery life, as it would be more efficient, and most importantly provide superior drivers, multiple-display support, and superior experience. Including, actual full DirectX and OpenGL support, with support with technologies like DirectCompute and OpenCL, for ensure that all software will run on it, properly.