there is nothing like that built in GeoMedia. However, you can easily use MS SQL tools for that. Just install MS SQL Management Studio (I guess 2014 or newer) and you should get the tool called "SQL Server Profiler". Run it, go to File > New trace..., connect to the server you wish. On Trace Properties dialog, go to "Event Selection" tab, click "Column filters ..." button. Select the "ApplicationName" in the left hand side list of the dialog which appears, and then exapand the "Like" node on right and type GeoMedia in it. Then run the trace and you will see all the traffic from GeoMedia application.
