GhislainG :
If it doesn't throttle with P95, then the issue may be elsewhere. It's possible the 940MX overheats and then the CPU slows down because it doesn't work as hard to feed it. It also is possible the combination of an active CPU plus GPU causes too much heat. What happens when you stress the GPU with Furmark GPU stress test or a similar utility?
Okay I will try FurMark and tell you what happens.
Just as a side note, when I run the game Naruto Shippuden Storm Revolution on my friends laptop which has an HD520 GPU. it runs fine at low resolutions like 768p. On my laptop, even when I run it at 768p, I get slow down, so I'm not sure how my GPU could be heating up so much.
UPDATE: I ran Arkham Knight on the lowest settings and was pulling a good 28-30 FPS. My GPU maxed out at 43 C and CPU at 62 C. I was still getting the slowdown.
UPDATE 2: I ran FurMark at the preset for 1080p, and it seems you're right. The GPU clock drops down to about 100MHz from the usual 1000+ on my 940MX at random points. Do you know of any solution for this issue?
UPDATE 3: I ran FurMark side by side with Task Manager to see the drop off points of the CPU, and it showed me that the CPU was dropping in speed, and then FurMark showed a drop in GPU speed. So at this point I'm convinced it's the other way around. The CPU drops off, then the GPU doesn't have to work as hard and drops off. The GPU picks back up almost immediately once the CPU starts climbing up again in speed.