That is likely because you are using a passive DP to HDMI adapter. Use an active DP-to-HDMI adapter, which generates the clock needed for HDMI, and it will work.
macOS 14 (Sonoma) and macOS 15 (Sequoia) will crash when an eGPU is hot disconnected. It will work fine if you connect or disconnect when the computer is shut down. Sonnet has filed a bug report with Apple.