Apple Thunderbolt to Gigabit Ethernet Adapter doesn't work in Windows 10 running on MacBook Pro (Boot Camp partition). Windows doesn't recognise the device at all and it doesn't appear in Windows device manager.
It seems that Thunderbolt port on MacBook Pro is not functioning as plug-and-play in Windows, You have to reboot Windows after plugging the Thunderbolt adapter. Previous Windows versions also required Broadcom driver to be installed, but Windows 10 seems to have required drivers built-in. You just have to reboot the laptop after plugging in the adapter.
Windows 10 Pro (1803)
Apple Thunderbolt to Gigabit Ethernet Adapter