Oddly enough, the problems seem to be worse on the Fiji-based cards, the Radeon R9 390X runs the game faster than its more expensive brothers. Microsoft acknowledged the issue and promises to issue a fix.
Microsoft sent Forbes a response to their inquiry about the issues and are aware that it's happening. So is AMD "We are working closely with AMD to address a few issues that users of some AMD Radeon Hardware are experiencing while playing Gears of War: Ultimate Edition for Windows 10 and expect that they will be addressed quickly in an upcoming update."
What could the issue be? Is it because the game isn't made to use HBM properly? Is it a low-level driver issue that AMD themselves need to address or is it something related to the porting of the game. Oddly, with DirectX 12, the drivers hold less sway over the behavior of the GPU than does the actual programming of the game. You have to explicitly program for a GPU now. Driver optimizations are a DX11 and below thing, so driver issues are unlikely, though still possible.