I don't believe in complaining. I think that the worst thing with GameMaker is the slow compile times (compared to the competitors). It makes for slow iterations. So rather than yelling at YoYo Games, I decided to do something about it and for this sole purpose bought an expensive customized computer with a CPU five times faster according to the benchmarks. The results? It only cut down the compile times by 37.5%. I returned the computer. Better stick with GMLive.
I still think that it would be nice with a feedback somehow when you make an error. But I realize that you can adapt and live without it. An idea I haven't thought about before is this: since the game is running in fullscreen, and I would hate to scale the window down, I can offset it vertically 100 pixels to have the underlying output panel with the IDE show. This will make it quick to peek at the log, I can still code in Notepad++ and there's no alt-tabbing involved. I will do this from now on.