By default, from IBM's Enterprise COBOL, your DISPLAY messages are going to //SYSOUT DD SYSOUT=whatyouneedatyoursite
You have marked that as being for system messages, but you should check there. With some utilities (SORT is a good example) that will contain the message output from the product, but that is not the case by default with COBOL.
It is possible to change where the output from DISPLAY goes by compile option: OUTDD(YOURDD). If your output is not on SYSOUT, check the beginning of your compile listings for the options and see if OUTDD is being used.
It is a possibility that logic errors are ensuring that your DISPLAY statements are not executed.
I would recommend putting TIME=(,2) on your EXEC card or your JOB card. This will save you if you happen to get a loop. I still do that today (although get fewer loops than when I was starting out..., many fewer, but if it happens, it'll save a heap of CPU). You may be able to get away with TIME=(,1), but sometimes that chops the dump-processing off in its prime.
When wondering where DISPLAYs that you'e put in the program are, another thing to check is that you are executing the correct version of the program. One thing I find helpful is this:
01 W-WHEN-COMPILED PIC X(8)BX(8).
MOVE WHEN-COMPILED TO W-WHEN-COMPILED
DISPLAY "yourprogramname " W-WHEN-COMPILED
You do the 01 in the WORKING-STORAGE and the MOVE and DISPLAY "once only". Then after any run, you look at the sysout and can tell that you are running the program you compiled (or you can tell that you are not). The date/time should be identical to that on your latest compile listing if that is the one you are running. Saved me lots of time over the years.
There is an Intrinsic Function which gives similar output, including a 4-digit year. That is about the only difference between the two. Both are fully resolved at compile-time, so as long as you only execute them in the "once-only" part of your program, there are no performance implications with either of them. Consult the Enterprise COBOL Language Reference for the documentation of WHEN-COMPILED and the Intrinsic Function, and the Programming Guide for documentation of the compile options.