Grant Fritchey explains what causality tracking is in SQL Server Extended Events:
So, then what happens? It’s simple. A given task, let’s say, for example, an INSERT query, will be given a GUID. Then, all the events associated with that task, from the compile, to the query start, query finish, waits, recompiles, etc., all get associated with that GUID. They also receive a sequence number.
Therefore, through the use of causality tracking, you can see all the behavior associated with a given task and the order in which it occurred. On a test system, with no load and no activity, this isn’t that big a deal. On a real system under load, whether we’re talking, dev, test or production, where you’re going to see tons of simultaneous tasks occurring. Causality tracking enables you to isolate everything and group by task. You can pluck one set of behavior out of the mess.
That’s really useful, though it does add overhead. It also will never be available for Profiler.