Should Exceptions be adding to 'Data' rather than inner exceptions

[markfinal]

https://stackoverflow.com/questions/9467599/catch-exception-add-data-and-rethrow-it
https://docs.microsoft.com/en-us/dotnet/api/system.exception.data?redirectedfrom=MSDN&view=netframework-4.8#System_Exception_Data

Could just do rethrows with extra data being added at key points.
Final catch needs to then write that out.
We should be using concrete exception types for improved meaning.