So I plugged in a hard drive directly, and used the unassigned Devices plugin. Then I used the Dolphin Docker to copy files to the /mnt/user directly. This all worked. I had already setup the shares before hand, and assigned permissions to them.

Now here is the sticky part, turns out, most of my files are owned by Nobody etc. Windows can't delete any of these files. How can I fix files on shares to match the permissions I have setup in the Unraid GUI for each share?

Tools - Docker Safe New Permissions.  If that icon isn't there, then install Fix Common Problems plugin then and it'll get there.  Do not use the stock New Permissions tool if you have docker apps installed.