A quick point: while the Power Query Query Diagnostics functionality is relatively new, it’s based on Power BI/Power Query trace logging that has been around for a while. I’ve just realised that this means you can use the Diagnostics.Trace M function that I blogged about back in 2016 to add your own messages to the output of Query Diagnostics. Using the example query from that blog post, here’s what you’ll see in the detailed Query Diagnostics output query when that query is run (I’ve removed all but the important columns to make it easier to read):
The amount of detail you get with Query Diagnostics can be overwhelming; inserting your own messages should make it a lot easier to work out what is happening, when and how often – especially in scenarios where the query name and step name aren’t shown.