make-stderr-stream returns the same stream each time. Calling close on this stream has no effect (except that it forces the output).
The console window will be created if it does not exist. That is not desirable for typical (non-console) applications. Therefore writing to the stderr stream is probably useful only in a console application (see the
:console keyword argument in save-image), or when you know that stderr is going to be redirected.
make-stderr-streamat run time rather than in the build script, because it contains the handle of Windows stderr.
LispWorks User Guide and Reference Manual - 20 Sep 2017