Just to be clear, I did not use UE_LOG functionality. I wrote a custom function to log to a file, and that still did not work.
FString SaveDirectory = FString("C:/Users/Null/Documents/Unreal Projects/Infantry");
FString FileName = FString("Log.txt");
FString TextToSave = FString("");
IPlatformFile& PlatformFile = FPlatformFileManager::Get().GetPlatformFile();
FString AbsoluteFilePath = SaveDirectory + "/" + FileName;
FFileHelper::LoadFileToString(TextToSave, *AbsoluteFilePath);
TextToSave += "custom state constructor\r\n";
FFileHelper::SaveStringToFile(TextToSave, *AbsoluteFilePath);