Well, got my M4 Pro MBP yesterday and, as expected, my 2TB Kingston KC3000 SSD in the IcyBox enclosure was not detected (just like on my M1 Pro MBP with Sonoma). Started a chat with Apple support, went through some 4-5 advisors, even being called over the phone. No solution other than check your SSD for errors, try another one and so on.
Decided to further experiment, so I plugged the IcyBox in a TB powered hub (the mighty OWC Thunderbolt Hub). Worked like a charm. Decided to take things even further, so I plugged in my small D-Link DUB-M6100. Also plugged the IcyBox and.... wouldn't believe my eyes... it worked.
Since the OWC is nothing to consider hauling around when touring, and the D-Link fits in a pocket, I am at least happy to share this with you, hoping you'll also find it helpful.
From my standpoint, I reckon that Apple has not yet optimized the power delivery via the TB ports in Sonoma and Sequoia (albeit the problem has been around for quite some time now). Hopefully they F***ing Will, because otherwise it could become a laughing stock.
Also, using the USB-A connector of the IcyBox cable resulted in a no-show for the SSD; it looks like only USB-C does the trick.
Clearly a power management issue on behalf of Apple, but something that needs to be reported over and over until they finally fix it.