No, but in the future we will add support for exporting single Jobs.
There are many reasons for not showing the cmd window:
1. Severeral OS that support multiple login could cause that the cmd-window is showed on another session than the user session. The command is executed by a SERVICE running as SYSTEM. The reason for that is so you can peform schedule when no one is logged in.
2. We capture output. You can't both see output and capture output.
3. It is a security risk. If cmd window is shown you can easily break that command and get admin access. That is why this is limited from Vista and will be limited in the future.
Maybe, what you are searching for is some partial update of output. If you want that I recommend adding that request to Feature requests. It is not easy to handle and not effecient but could be done.