With your example I get the same messages. But my exe file produces nothing. I cannot figure out any bug in the script. As I mentioned, there is no warning or error message when I run the script.
Even after specifically inserting print/warn statements?
Is the temp directory empty? Try specifying an alternate temp directory (like the current directory) and see if it grows
Maybe your shell is fooling you (no DISPLAY)? Check %ERRORLEVEL% (or equivalent) after executing 'a', and check the file size, and upgrade PAR PAR::Packer to the latest
$ ls -loanh a.exe
-rwxrwxrwx 1 0 12M 2011-07-15 04:27 a.exe
$ pmvers PAR PAR::Packer