I feel this most acutely when playing the game of Go because my strategic failures are not due to merely lacking insight into the game. They are due to failing to grasp the principles that govern strategy and logic themselves.

Otherwise, as someone more divergent than sequential in thinking, I sometimes know I am not observing an interesting detail that could lead me to a solution, but generally my problem is more being able to act on what I realize than churning through the details trying to realize the abstract.

In introductory statistics, when the variance of sample means often conveniently ends up as sigma^2/n. You can see the principle OK for normal random variables. But for other types of variable it's not so straightforward. It needs some central limit theorem. These don't tend to get explained, or the gloss-over adequately noted, in introductory courses. So, if you wonder, 'how did they get that?' it can be a head scratcher until you track back to where the missing step was: the central limit theorem that was invoked was never explained, just used.

I try to hang on to the feeling as a positive thing, like a smoke detector, until I find what the source of the problem is. I find common candidates are:
1) I'm missing a prerequisite. Trace back and find out what it is.
2) I'm fouling some important step. Write it out and see where my thinking is sloppy. If technical, try and replicate the equations/whatever on a computer.
3) The source I'm learning from is unclear for me. Find something equivalent and use that.
4) The idea itself is bullshit. Low prior probability here, but it happens. E.g. I've seen models in economics that could imply people working more than 24hrs per day. Can be difficult to decide what to do here, depending on what situation you're in (e.g. exam).

I search briefly, then let it go. Life is short and in the time it would take to learn what I am lacking so that I can understand, I could have learned ten other things. Or I might discover that I didn't get it because the abstraction was flawed to begin with. My opinion - the key insight is that if you don't get it, your value judgement that it's "important" is by definition a delusion. Maybe it is, maybe not. And by the time you figure it out your time is gone forever. It's poor thinking to make a big spend on a maybe.