Assuming this isn't too old:
Make sure your selected motherboard has the Thunderbolt GPIO header, and is listed as Thunderbolt-compliant. If you're going with ASUS, take a look at the ThunderBolt EX 3 card section on their website, and make sure your motherboard is listed.
There are a number of known issues with the latest ASUS Thunderbolt-enabled BIOS image, although so far I've been able to mitigate all of them on my Z170 board. If you're lucky, they'll have already been dealt with in the Z370 BIOS and boards. For example, I've had to disable "Fast Boot" from the Control Panel Power applet, under "choose what the power buttons do". I also had to change several default settings in the "high-performance" power plan to NOT allow the HDD (SSD) to power down. USB and other devices should be examined there as well. I also had to chase down the latest Thunderbolt 3 firmware and driver, because the versions ASUS was shipping were ancient.
At the end of the day, Thunderbolt 3 on a Windows PC can be done, but it should come with a warning label... :-) Having virtual zero latency monitoring with the Quantum is a very nice thing, though. There are still some rough spots, but I can't honestly say yet whether they're with the Quantum and drivers, or with Reaper. In a perfect world I'd load Studio One as a reference, but in the real world I don't have the time and energy...