All right, the date is 2000-05-28. At least half a year passed since I researched the last available topic in ufopedia. I have sacked around 7 Shogg villages: 1 antman, 6 spiders. No sight for Etherials, no sight for MiB commanders. In order to save last remnants of my sanity, I decided to stop here. (...)
For what it's worth, I'm kinda in the same spot here (SH). February 2000. I've researched everything, even the MIB commander. Essentially the only thing I need to progress to the endgame is Ethereal commander: because this is missing, I can't hijack MIB-Alien communications and can't get to the MIB lunar base and progress from there onwards. In this case, the chances of ethereal retaliation mission is (only) 33 %.
Some months there have been the ethereal retaliation mission, but most of the times they haven't found my bases. Arbiters seem so tough that I don't think you can shoot them down even if you deployed 4 tormentors (but I could be wrong, didn't test this). So shooting down the arbiter and getting the commander that way does not seem to be an option.
I've already dealt with one Ethereal retaliation against my base earlier, but trying to find the commander among all the ethereals was a pain (no visual clues - in contrast to most other alien commanders). And there were 20+ sectopods crammed in the hangars (essentially every hangar square was filled by a sectopod). If you need to capture the commander, you can't shoot shrapnel rockets and need to deal with them some other way. If I bothered to continue this campaign, I guess I'd have to try to kill them off with lasers the next time and not use explosives at all.
Maybe there should be other and/or more probable ways of obtaining Ethereal commander to progress to the lunar trail. I've already had two lunar missions (UAC base and MAGMA cosmonauts), so it shouldn't all that difficult to find the rest on the moon. Or just require
any alien commander for this (preferable), so that you don't get locked out of the late game so easily.
The current requirements are somewhat strange in any case, because Cydonia or Bust requires any commander, Ethereal GM and Lunar colony. But you can't the latter two without ethereal commander in any case. So there is actually no point in obtaining and researching any non-ethereal commander, and you'd probably want to avoid that because doing so triggers researchRetaliation (15 % per month).