Implementing correct completion of a retryable block

Maybe a ManualResetEvent can do the trick for you.

Add a public property to TransformManyBlock

private ManualResetEvent _signal  = new ManualResetEvent(false);
public ManualResetEvent Signal { get { return _signal; } }

And here you go:

var retries = new HashSet<RetryingMessage<TInput>>();

TransformManyBlock<RetryableMessage<TInput>, TOutput> target = null;
target = new TransformManyBlock<RetryableMessage<TInput>, TOutput>(
    async message =>
    {
        try
        {
            var result = new[] { await transform(message.Data) };
            retries.Remove(message);

            // Sets the state of the event to signaled, allowing one or more waiting threads to proceed
            if(!retries.Any()) Signal.Set(); 
            return result;
        }
        catch (Exception ex)
        {
            message.Exceptions.Add(ex);
            if (message.RetriesRemaining == 0)
            {
                if (failureHandler != null)
                    failureHandler(message.Exceptions);

                retries.Remove(message);

                // Sets the state of the event to signaled, allowing one or more waiting threads to proceed
                if(!retries.Any()) Signal.Set(); 
            }
            else
            {
                retries.Add(message);
                message.RetriesRemaining--;

                Task.Delay(retryDelay)
                    .ContinueWith(_ => target.Post(message));
            }
            return null;
        }
    }, dataflowBlockOptions);

source.LinkTo(target);

source.Completion.ContinueWith(async _ =>
{
    //Blocks the current thread until the current WaitHandle receives a signal.
    target.Signal.WaitOne();

    target.Complete();
});

I am not sure where your target.InputCount is set. So at the place you change target.InputCount you can add following code:

if(InputCount == 0)  Signal.Set();