Well, six months to get a response to question is a big improvement to my last question which took two years for a response. Things are really looking up.
I wasn't looking for all console output to be written to a file, as I've repeatedly asked for the last six months, just warning messages as you would do in a normal PowerShell session ( https://msdn.microsoft.com/powershell/reference/5.1/Microsoft.PowerShell.Core/about/about_Redirection) .
This also begs the question - what else does the Exchange shell not do that you would normally be able to do in a Windows PowerShell session? Can you please point me to some doc that outlines these limitations in the Exchange shell ? Thanks.