@geeko,
O HAProxy não faz nenhum registro em disco, somente para o syslog.
No 1.7 Manual de gerenciamento, mas é o mesmo para todas as versões:
For logging, HAProxy always relies on a syslog server since it does not perform any file-system access. The standard way of using it is to send logs over UDP to the log server (by default on port 514). Very commonly this is configured to 127.0.0.1 where the local syslog daemon is running, but it's also used over the network to log to a central server.