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This caught me off guard the first time too. The most common reason no dump file is created is that the target folder either does not exist or the SQL Server Agent service account does not have write access to it. Check that first before anything else.
The default dump location is:
C:\Program Files\Microsoft SQL Server\<instance>\Shared\ErrorDumps
Grant the Agent service account full write access to that folder. If the folder does not exist create it manually and then set the permissions.
You can also confirm where SQL Server is actually configured to write dumps:
sql
EXEC xp_instance_regread
N'HKEY_LOCAL_MACHINE',
N'SOFTWARE\Microsoft\Microsoft SQL Server\<InstanceName>\CPE',
N'SqlDumpDir';
The other thing worth knowing is that Dump on errors only fires on managed SSIS errors. If the package is terminating unexpectedly due to an out-of-memory condition, a process crash, or an external dependency failure, the dump mechanism is bypassed entirely and nothing gets written. Check the Windows Event Log at the exact time of failure. That will often tell you more than the SSIS logs in these cases.
Also make sure the target volume has available disk space. A full disk causes the dump to silently fail with no notification.