CPU Frequency drops under load without thermal issues

Probably your embedded controller is set to a conservative thermal setting. Note that these settings are persistent on the mainboard and not the hard disk. So if you are playing with Lenovos tools under windows, putting your notebook in a kind of "power economic & quiet" profile and then boot up ubuntu, the setting is still active.

To change this under Ubuntu, you need the right kernel module (in my case it's dell-smbios) and the smbios-thermal-ctl package to do something like this:

sudo smbios-thermal-ctl -i

 Print all the Available Thermal Information of your system: 
-------------------------------------------------------------------
Supported Thermal Modes: 
     Balanced
     Cool Bottom
     Quiet
     Performance

and then activate a more permissive profile, in my case (Dell) the best of both worlds seems to be Balanced.

sudo smbios-thermal-ctl -set-thermal-mode=Balanced

Another tool I can recommend is s-tui to diagnose such behavior.