"Your device didn't monitor advanced sleep"

Is your optical heart rate for such night uninterrupted and correctly measured? Deep sleep requires HR information and if you are wearing your watch too loose, it can be a possible reason for the drop of sleep tracking.

The HR is uninterrupted. And, it looks "perfectly reasonable". Just a slightly bumpy line (+/- 1-3 beats/min up and down, say) with a downward trend all night until morning. No unusual spikes or anything like that. I've had the watch about 2 weeks; its the second time I got this message and no REM sleep recorded. Any further thoughts, anybody?

I’m only speculating here but I believe that for ADVANCED sleep metrics (such as REM) the watch needs to analyse your heart rate VARIABILITY. This requires a higher quality reading than just heart rate monitoring alone, so maybe on the nights in question, your watch has been dislodged during sleep for some reason and it doesn’t have the definition required to monitor HRV.

Some days I wake up and I have periods where no heart rate was measured at all, making me wonder if I died for a short period during the night?!

If it happens only every now and then I wouldn't worry too much. My understanding is that the watch tracks and reports the data required for sleep tracking but the actual evaluation is happening on server side (that's why there are no watch widgets showing sleep - you must go to the GC Connect app or website). There are many factors that can go wrong but again, if it's not a pattern, just check the basics like watch fit etc. and most of the days you should get a good readout. Sleep data have to be looked at with a pinch of salt anyway and mostly on trend level so one or two days with a wrong readout won't really change the story.

I noticed I got that message almost daily last week when checking my sleep data in the morning. But when I would go back later and look at it again (usually the next morning), advanced sleep data would be present. Seems like something was happening on the server side rather than in the watch because the advanced data would show up, just not after the initial sync.