[Manichean]

My guess would be that the file gets created either in the current working directory of the shell you called the program from or in Calibre's bin directory.

Edit: I just tested. The debug file doesn't get displayed for me, as well.

Edit2: I guessed wrong. A search didn't find the file. There's another way to create a logfile that should work: Invoke "calibre-debug -g > filename", that should redirect the output to the filename you selected. This will be created in the current working directory, unless you specify an absolute path.