In Powershell Retrieving Printed Message From SSMS
Capturing InfoMessage Output (PRINT, RAISERROR) from SQL Server using PowerShell

The trick, as Jonathan points out, is that you need to have a listener attached to the connection manager listening for the print or error actions.

$cd.Parameters.Add("@f", $bak.FullName) | Out-Null
$handler = [System.Data.SqlClient.SqlInfoMessageEventHandler] {param($sender, $event) Write-Host $event.Message }
$SqlCon.add_InfoMessage($handler)
$SqlCon.FireInfoMessageEventOnUserErrors = $true  


I also piped the output of adding a parameter to Out-Null as that was noise I didn't need.