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Why your preview pane shows nothing, what the header actually does, and the three ways it gets lost.
Open the GTM debug console for a server container and you will see a long opaque string at the top labelled "tagging server preview header." That string is what tells your tagging server to record the request for inspection instead of processing it silently. Without it, your container behaves exactly as it does in production: it answers the request and forgets about it.
X-Gtm-Server-Preview: ZW52LTV8b3VKMEpqV2t1ZkZDd0...
It is a base64 blob containing the workspace ID, the auth token, and an expiry. The container reads it on every incoming request and decides whether to log the request to the preview pane.
curl -X POST 'https://data.example.com/g/collect' \
-H 'X-Gtm-Server-Preview: PASTE_FROM_DEBUG_PANE' \
-d 'v=2&tid=G-XXXXXXX&en=test_event'
The event should show up in the preview pane within a couple of seconds. If it does not, the header is the first thing to verify. If the header is fresh and the request still does not register, your custom domain setup is the next place to look.