Found the solution.
Add "+STDOUT +EX" parameters.
With +STDOUT errors are shown in the console, and with +EX the errors are formatted like gcc errors (for simpler filters)
Here are all excecute commands I have used:
npp_save
CD $(CURRENT_DIRECTORY)
cmd /c del project.ESYM
cmd /c del project.o
cmd /c del project.HEX
cmd /c del project.LST
cmd /c del project.ERR
cmd /c del project.COF
cmd /c del project.mcs
"C:\Program Files (x86)\PICC\Ccsc.exe" +FH "$(FULL_CURRENT_PATH)" +Y=9 +EA +STDOUT +EX
Console Output Filter:
%ABSFILE%:%LINE%:*: Error*
%ABSFILE%:%LINE%:*: Warning*