Personally I think this is just tradition nobody cared enough about to change yet.
Actually, this may be one place where Windows is actually more modern than Linux c.s. Windows has a central repository where all kinds of system messages, erors, warnings, ... are kept, not only OS messages, but apps can write to that repository too and there is a simple admin tool ("Event viewer") that allows easy access to this information.
A program should be light and agile, its subroutines connected like a string of pearls. The spirit and intent of the program should be retained throughout. There should be neither too little or too much, neither needless loops nor useless variables, neither lack of structure nor overwhelming rigidity." - The Tao of Programming, 4.1 - Geoffrey JamesMy blog: Imperial Deltronics