It all depends on the configuration of your BSP and whether or not you created the kernel with the WINCESHIP flag on or off. If WINCESHIP is set it means all RETAILMSG and DEBUGMSG messages are stubbed out (so no code). Otherwise, without KITL, it usually gets routed to the debug port. Which one again depends on your BSP. Take a look at OEMInitDebug (http://msdn.microsoft.com/en-us/library/ee478539.aspx) and OEMInitDebugSerial (http://msdn.microsoft.com/en-us/library/ee478662.aspx). You can route debug messages anywhere by rewriting the code in OEMWriteDebugByte (http://msdn.microsoft.com/en-us/library/ee478505.aspx)
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RE: Where do the debug/retail messages appear
It all depends on the configuration of your BSP and whether or not you created the kernel with the WINCESHIP flag on or off. If WINCESHIP is set it means all RETAILMSG and DEBUGMSG messages are stubbed out (so no code). Otherwise, without KITL, it usually gets routed to the debug port. Which one again depends on your BSP. Take a look at OEMInitDebug (http://msdn.microsoft.com/en-us/library/ee478539.aspx) and OEMInitDebugSerial (http://msdn.microsoft.com/en-us/library/ee478662.aspx). You can route debug messages anywhere by rewriting the code in OEMWriteDebugByte (http://msdn.microsoft.com/en-us/library/ee478505.aspx)