On Windows servers, only information is logged. See 4.9 Log Files (Windows).
On IBM i servers, exit programs are called if they are found in the library list of the HTTP Web server instance job.
QGPL or the library that contains the JSMDIRECT.PGM and JSMPROXY.PGM (JSMLIB as specified during the LANSA Integrator install) are good locations to store these exit programs.
The ENTRY event is a good place to add instructions to modify the job attributes of the server instance, such as adding library entries to the library list. This is necessary if you are invoking LANSA functions, as the LANSA libraries must be added to the library list.