Thanks cluhmann, I have no idea why it didn’t turn up during my search.
Meanwhile I found this was last changed in the following PR : Collect sampler warnings only through stats by michaelosthege · Pull Request #6192 · pymc-devs/pymc · GitHub The last version before that was v4.2.2 so I installed that. It does not generate the warnings.
At that point the same warning seems to be located in pymc/step_methods/hmc/nuts.py and I added a print to make sure the code is actually executing in my case. But there it tells me n_treedepth / float(n_samples) so it sounds like “the fraction of whatever where the max treesize was reached” and if this fraction is more than 5% there is a warning (it is 0% in my case). Which sounds quite different from what v5.1.1 is doing.
I think this answers my third question in a way then.