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Hi Kevin,
Regarding your concern, there is currently no separate official master list from Microsoft including all the industries used by the Stocks linked data type. To view the industry assigned to a stock linked in cell A2, please use this formula =A2.Industry.
You can also type =A2. to see all fields available for that stock. The underlying company information is provided by LSEG Data & Analytics, which maintains the classifications.
If you have multiple stocks, you can extract their industries into a column and use UNIQUE to create a list of the industries represented in your workbook.
Hope this will help. Should you have any other questions, please feel free to share them in the comments of this post. I'm happy to assist you further.