User error. If you add a breakpoint on the Debug.Log code inside of IPreprocessBuild.OnPreprocessBuild, it will get hit when you perform a build. The Console just gets cleared when the build triggers a domain reload (code is recompiled). To see Debug.Log code message from IPreprocessBuild.OnPreprocessBuild in the Console, disable the Clear > Clear on Recompile setting. All messages are also added to your project's Editor log.