Wulfang
In option E, how is 'climbing' modifying the preceding clause without having a comma before it.
Here's how I'd look at it:
1) The information separated by dashes ("a feat once thought impossible") is definitely a modifier.
2) If it were a normal appositive modifier ("Honnold free-soloed El Capitan, California's famous sheet of granite, climbing...") no one would have any problem with "climbing" there because it would come after a comma. But the comma there wouldn't exist solely to set up "climbing" as a modifier - its other job is to complete the appositive modifier (in this case "California's famous sheet of granite").
3) In this case, "a feat once thought impossible" isn't a modifier of the adjacent noun phrase "Yosemite's El Capitan" so I can see why dashes may be more appropriate for setting up that modifier.
4) And then at that point you'd never put a comma right after a dash, so the dash is performing the role that the comma would have played had the modifier "Yosemite's El Capitan" been a more classic appositive modifier.
5) And I think this is really important: hard questions are going to use less-common, less-familiar structures so you'll often face situations like (E) where you don't quite know "the rule" but you have to prioritize: does it violate a major rule that you *know* is a fatal flaw (like the bad modifiers in A and B)? If not, be patient until you've eliminated 3-4 answer choices to see if you need to make that less-common decision or not. Here I think you can find enough wrong with A-D that if you see that the dashes (which you know can separate modifiers) basically serve the same purpose as commas and you know you'd never use "--," as a structure, you can be confident that E is "peculiar, but not necessarily wrong." One of my favorite quotes about SC is from my Veritas Prep colleague and co-author Chris (who has climbed, but not free-soloed, El Cap several times): "I learn a lot about grammar by using good strategy on official SC problems, eliminating four answer choices, and looking at the strange construct that's left and thinking 'huh, I didn't know you could do that.' And then over the next few weeks reading the New York Times, The Economist, etc. I'll see that construct a few times and realize "yep, the GMAT knows what's it's doing." And what he means by that is you can't prepare for every unique structure out there...you just have to get really good at prioritizing the common errors and train yourself to live with and think about (e.g. "that doesn't break any rules I know of and it preserves a logical meaning so I guess that's okay") some of the stranger things. Which is what makes SC a 'reasoning' question type and not a pure grammatical memorization type.