From mendix docs TRACE level logging of one of these depending on what you need should do it
Logsmessages related to the queries that are being executed.
Logs messages related to the parsing or interpretation of XPath and OQL queries.
Queryexecution plan information for installations (currently only supported for PostgreSQL databases)
If you are running postgres and have access to the database I found it easier to just turn on logging in postgres
Also in mendix cloud LogMinDurationQuery custom aetting can be used to log queries longer than X seconds