Is use the same style adapter for 2 Intel DC P4510 2tb drives.
https://www.amazon.com/gp/aw/d/B072JK2XLC?psc=1&ref=ppx_pop_mob_b_asin_image
We haven't spent a lot of time with adapter chains like what you are trying out. When we've used NVMe SSDs outside of a factory server slot, we've used an adapter such as one of these:
StarTech.com U.2 to PCIe Adapter - x4 PCIe - For 2.5" U.2 NVMe SSD - SFF-8639 PCIe Adapter - U.2 SSD - PCIe SSD - U.2 drive (PEX4SFF8639) https://www.amazon.com/dp/B072JK2XLC/ref=cm_sw_r_cp_api_glt_fabc_6V7NTB3JA8AJTDK1HZA9
You probably won't find a lot of traditional debug help on these since they should be plug and play with no setup. If it works it appears, if it's not working its defective or not connected correctly.
If you need someone to test the drives themselves if it gets to that point, FedEx has a flatrate service that would cost about 9 bucks each way. I can load them onto a server to rule out the drives themselves being a problem.