SQLDIAG File in the SQL log folder
This is the output of sp_server_diagnostics which is run to do health checking of either the primary replica in an availability group or an FCI. These are normal files to have and can help when investigating issues with availability groups or FCIs when dealing with failover.

Depending on the component and state, it may be an issue or may not be an issue.


Clean - No issues
Warning - There have been some key metrics above what is expected
Error - When a policy has been violated and a failure should be taken


Only System, Resource, and Query Processing are involved in the failover policies. Events will always say unknown and io_subsystem will only ever be clean or warning.
You can read more about this here for AG or FCI.

Whether or not any of the items are an issue is another matter which can only be ascertained by the frame of which the issue occurred. Obviously if any say Error, that's a problem, but warning requires a frame of reference to understand if it's something that should be further looked into or disregarded.