As it's hard to write to stdout / stderr from Vimscript, I doubt that this is what the plugin does.
In any way, hardly any plugin is GVIM-only, so you can just launch terminal Vim to capture the output.
debugging tips
To troubleshoot the misbehaving plugin, I recommend to capture a verbose log with vim -V20vimlog
.
If that doesn't suffice, you can step through the plugin, e.g. with :breakadd file plugin/pluginname.vim
. Finally, don't hesitate to contact the plugin's author; he's best suited to help you.