Nothing is written to log in log_directory() for a PostgreSQL cluster
Ok, so I did not get the Log files to work. But instead I got the Windows event log to work.

In postgresql.conf I set these line uncommented with those options: 

log_destination = 'eventlog'        # Valid values are combinations of
                    # stderr, csvlog, syslog, and eventlog,
                    # depending on platform.  csvlog
                    # requires logging_collector to be on.

# This is only relevant when logging to eventlog (win32):
# (change requires restart)
event_source = 'PostgreSQL'

log_statement = 'all'    # none, ddl, mod, all



To register The Event log to Windows, I followed these instructions
I entered this command: REGSVR32 "C:\Program Files\PostgreSQL\11\lib\pgevent.dll" and a pop-up dialog confirmed that the pgevent.dll was registerd to REGSVR32
Then I opened Windows Event Viewer
On the right hand side, I chose Create custom view and got this pop-up dialog. I just filtered by the event source.




Then i get a neat list of events.