it's more clear inside the From impl below

I think using #[derive(Display)] is more concise, but this one is good too.
Example in our codebase: 1, 2

docs: https://jeltef.github.io/derive_more/derive_more/display.html

Nice job on this! This is the correct impl since derive error doesn't work well in such cases.
On the other hand, implementing both source() and including source in Display message is kind of an anti-pattern, but I wouldn't worry about it, better to have too much duplication in error messages than not enough info.

Nit: this e variable shadows the outer e

I'd lower this to trace, I have a suspicion this will spam too much.