I created a REXX exec with 3 lines only, just to test your recommendation, it worked OK, with or without the "NOCONCAT" parameter.
The message appears in any situation, but it is only an informational message (it ends with "I"), and the member with the compiled REXX is created.
The original program used the initialization format of OUTTRAP in four different places, and when it was compiled the compiler generated the 4 informational msgs plus a severe one related to another error, and ended with RC=12.
I tried many options to solve the OUTTRAP msg (including the use of NOCONCAT), and always received the RC=12, because of the other error, and never realized that!
So I decided to execute the interpreted version, and the reason it finished successfully was that the piece of code containing the severe error was never executed.
Sorry for not realizing this from the start, but anyway, thanks for the suggestion - with it I was able to find that there was no problem at all with the compilation of the OUTTRAP function.