I can't make it to work on Houdini 20.5. For example, if I set Onion Skinning to anything other than "Off" in Crag HDA, timeline scrubbing becomes incredibly slow, but nothing else happens visually. Is Onion Skinning currently OpenGL only?

It currently is a GL only feature. We're unsure if we want to port it to Vulkan, given that the Animate states have better ways of doing this sort of thing. But we should probably turn off the useless extra cooking Onion Skinning is doing in Vulkan.

All right, thanks.
Is it explained somewhere how to achieve a similar effect with Animate States?

Offhand, I'm not sure -- I know I've seen it in some of the videos though

The problem with the old onion skinning is caching in SOPs (or the lack of it), meaning that the viewer always has to recook each frame of the displayed skins every time change, and that's very expensive. APEX rigs fixed that aspect in the character case. I'm not sure how to apply that to the general case though.