We're in a similar situation, and unfortunately this cable will only work in SteamVR beta 1.4.2 with direct mode turned off within it's settings. It fails wtih direct mode turned on in both beta 1.4.2 and non-beta version of SteamVR 1.3.23, so I wonder if this other cable linked below will work with direct mode turned on and remove that similar HDCP error?
https://www.cablematters.com/pc-794-132-certified-thunderbolt-thunderbolt-2-cable.aspx