If you launch Nuke (without Shotgun) on Windows, it will start up a command prompt window, in which it outputs logged information.
However, by default, the Shotgun launch process suppresses any extra windows that might be spawned. But you can change this behaviour via a hook if you so wish.
To do this, take over the
app_launch.py hook and edit this line so that it becomes
cmd = "start \"App\" \"%s\" %s" % (app_path, app_args)
Basically, just removing the
/B from the string, as the
/B causes it to launch and suppress any extra windows.