You'll need to enable user exit logging... In the CMOD Admin client, right click on the server, choose System Parameters, and in the User Exit Logging group, make sure everything is enabled.
Now... just to be able to say that you were warned... logging every message has the potential to slow down your server to a crawl. There's only so many times you can call a script per second before the server becomes backlogged, and CMOD stops responding. If you encounter this issue, you can disable the user exit logging, and it should take effect immediately, and good performance should resume within a few minutes as the backlog clears.
-JD.