cdfplayer - Messages muted in standalone CDF files

In Mathematica, when you call a function, messages may be generated and shown in a pink Messages window:

These messages are shown also for CDF files when you open them with Mathematica. I have noticed that when I open CDF files with CDF Player, then the messages a muted. The pink window is never shown.

I can understand that this is the desired behavior for CDF files for web-embedding. However, in the case of standalone CDF files, could it be possible to see these messages?

I am deploying with

CDFDeploy["filename.cdf", expr, "Method" -> "Standalone", "Target" -> "PlayerPro"]