Capturing error messages on exit

[Gary Johnson]

Every now and then when I exit Vim, I see a few error messages at
the bottom of the screen just before Vim terminates. Is there some
way to capture those messages?

Would using a VimLeave autocommand to write :messages to a file
capture all messages?

I tried putting a script wrapper around Vim, but it doesn't work for
all use cases.

I've noticed this only on my work PC, which means it could be either
Windows gvim or Cygwin vim in a mintty terminal.

Regards,
Gary