With SAS EG, the SAS session you are working with is more like batch SAS, so you have to use code that is compatible with batch mode. PROC PRINTO will work but DM statements wont.
If I want log files, I find it easier just to run the complete program as a batch job which produces a log file automatically, no coding required. That way your EG and batch job code can be exactly the same. Running in EG, the log goes to the log panel, in batch it is written to the log file. Batch jobs in SAS 9.4 can be run from the SAS Management Console tool as it isn't available in EG.
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