When set for a SQL CLR stored procedure, COBOL DISPLAYs are sent back to the caller as SQL Server information messages.
When set for a COBOL application, SQL Server information messages are written to the console.
When a COBOL stored procedure is called using an interactive SQL tool, such as SQL Server Management Studio, information messages are shown via the message output provided by the tool.
DISPLAY output from stored procedures goes to SYSOUT for Enterprise Server .NET JCL jobs.