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This RFE has been raised under a misapprehension. z/OS Connect EE creates SMF 123 subtype 01 records which include timestamp records that are Store-Clock STCK values, which already carry a greater precision than has been requested.
z/OS Connect EE provides a basic sample JCL which shows how SMF 123 subtype 01 records can be formatted using ICETOOL. However, ICETOOL itself is limited to formatting STCK to hundredths of a second. So, using this z/OS utility, hundredths is as granular as we can format. The limitation is not part of the SMF data itself.
Other SMF-consuming offerings are likely to exploit the granularity inherent in STCK values. For example, IBM® Common Data Provider for z Systems®, with APARs OA56844 and OA56846 now support for SMF 123 subtype 01 records:
http://www-01.ibm.com/support/docview.wss?crawler=1&uid=isg1OA56844
http://www-01.ibm.com/support/docview.wss?crawler=1&uid=isg1OA56846
If improvements to ICETOOL are required to deliver better formatting of STCK values, please raise a new RFE against z/OS.
To get more precise timings of how long an end to end flow is taking in each hop, it would be useful to be more precise than even milliseconds.