While sklearn warnings do appear to be correctly written to the log file as part of a unit test on Windows when grid_search_jobs is set to 1 (no parallelism) (see test_output.test_send_warnings_to_log), they do not when grid_search_jobs is greater than 1. This appears to work correctly when running outside of the unit test framework, however.

Ideally, change the abovementioned test to not set grid_search_jobs to 1 once this issue is resolved.