While a build is running, an agent will perform all the configured steps one by one. Azure Pipelines will capture detailed information and logs from all these steps. As you can see in the following screenshot, a build will display a list of all the steps it has executed on the left. Clicking on any of these steps will open a detailed view that displays the logs per step:

Whenever there are warnings or errors during the build, they show up in orange or red, respectively.