This is by design. We don't print out logs in shipping games for any platform. We do provide a log for a shipping editor, but not for shipping games. It can be overridden to do that, but not by default.
USE_LOGGING_IN_SHIPPING needs to be defined. This can be enabled by enabling bUseLoggingInShipping in UBT.
When you package a project for Windows Shipping, The project will not generate a log file when the .exe project is played.
The project will generate a log file if you package the project in the Development mode.
1) Load up a new template project in the Changelist that has been provided
2) When the level loads, click on the file tab on the top left of the screen
3) Find the Package project tab from the file dropdown
4) Change the Build Configuration from Development to Shipping
5) After changing the configuration, package the project for the Windows Platform
6) After packaging is complete, locate the packaged project in your Windows Explorer.
7) When located, double click on the .exe file to play the project that has been packaged
8) Move around in the level a little bit and then close the standalone window
9) Use this route inside of the packaged game to try and locate the log files: WindowsNoEditor(ProjectName)\Saved
10) The saved file will not be in that location as it would be if you packaged on development setting
Head over to the existing Questions & Answers thread and let us know what's up.