You can set your general logging area in your location through the Options dialog.
If you had asked a week ago, I probably could have told you about saving a log location for individual windows in the mirc.ini (or equivalent) file. So, I know it can be done.
I think. In this case, the Status window is a common windows and would be better to put in a defined area than a transitory one like a PM.
Perhaps this will jog the memory of someone who has done it. Apologies for not remembering more!