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Of the SQL system database (master, model, msdb, tempdb) query store can only be used on msdb. I looked and don't find any documentation about query store on msdb.

While you can't see it in the GUI, it can be validated on your SQL 2016 instance

Validate Query Store is off

USE msdb
SELECT * FROM sys.database_query_store_options; 

Turn Query Store on

USE [master]
GO
ALTER DATABASE msdb SET QUERY_STORE = ON
GO
ALTER DATABASE msdb SET QUERY_STORE (OPERATION_MODE = READ_WRITE
, INTERVAL_LENGTH_MINUTES = 30
, MAX_STORAGE_SIZE_MB = 1000
, QUERY_CAPTURE_MODE = AUTO)
GO

Validate Query Store is on

USE msdb
SELECT * FROM sys.database_query_store_options; 

Of all the system database why is msdb the only one with the option to use Query Store, and what value does it add?

-- Stop Query Store
USE [master]
GO
ALTER DATABASE msdb SET QUERY_STORE = OFF
GO

Of the SQL system database (master, model, msdb, tempdb) query store can only be used on msdb. I looked and don't find any documentation about query store on msdb.

While you can't see it in the GUI, it can be validated on your SQL 2016 instance

Validate Query Store is off

USE msdb
SELECT * FROM sys.database_query_store_options; 

Turn Query Store on

USE [master]
GO
ALTER DATABASE msdb SET QUERY_STORE = ON
GO
ALTER DATABASE msdb SET QUERY_STORE (OPERATION_MODE = READ_WRITE
, INTERVAL_LENGTH_MINUTES = 30
, MAX_STORAGE_SIZE_MB = 1000
, QUERY_CAPTURE_MODE = AUTO)
GO

Validate Query Store is on

USE msdb
SELECT * FROM sys.database_query_store_options; 

Of all the system database why is msdb the only one with the option to use Query Store, and what value does it add?

Of the SQL system database (master, model, msdb, tempdb) query store can only be used on msdb. I looked and don't find any documentation about query store on msdb.

While you can't see it in the GUI, it can be validated on your SQL 2016 instance

Validate Query Store is off

USE msdb
SELECT * FROM sys.database_query_store_options; 

Turn Query Store on

USE [master]
GO
ALTER DATABASE msdb SET QUERY_STORE = ON
GO
ALTER DATABASE msdb SET QUERY_STORE (OPERATION_MODE = READ_WRITE
, INTERVAL_LENGTH_MINUTES = 30
, MAX_STORAGE_SIZE_MB = 1000
, QUERY_CAPTURE_MODE = AUTO)
GO

Validate Query Store is on

USE msdb
SELECT * FROM sys.database_query_store_options; 

Of all the system database why is msdb the only one with the option to use Query Store, and what value does it add?

-- Stop Query Store
USE [master]
GO
ALTER DATABASE msdb SET QUERY_STORE = OFF
GO
3 Re-worded title so as not to confuse answers
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What benefit is the value ofthere from enabling Query Store on msdb?

2 Edit the appropriate tag according to OP question
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