I am using SE11 on Windows XP, although I do not believe this is specific to any one version of SE or Windows.
If I run a command-line program from within the SE process shell, and the program writes to stderr - e.g. from C# calling Console.Err.WriteLine() - then I do not see the error messages. The really weird thing is it displays one blank line for every line in the error message, but not the actual message text.
Messages written to stdout - e.g. Console.WriteLine() - display fine. If I run the same program from a standard Windows shell (cmd.exe) then the error messages are displayed, so it seems to be something specific to the SE shell.