Indeed before we were using py2exe which write the stderr to a log file automatically.
Since we migrated to cx_freeze, it does not do it anymore (see https://bitbucket.org/anthony_tuininga/cx_freeze/issues/60/python-333-freeze_support and https://stackoverflow.com/questions/38404800/cx-freeze-doesnt-print-to-console).
I think we should add an option to tryton to define a logging file. This could be done by passing a filename argument to logging.basicConfig.
I filled Issue 8915: Add logging file option - Tryton issue tracker