Windows App logs to ~/Library/Containers/com.microsoft.rdc.macos/Data/Library/Logs/Windows App/ on macOS.
Paths are printed exactly as Windows App writes them. Environment variables like %LOCALAPPDATA% and $XDG_STATE_HOME are never expanded, so a path can be pasted straight into a shell. Where a path differs between installer types or shipping flavours, each one is racked as its own card below - why that happens.