You don't have to change the application to use Application Activity Trace - which would be a better feature to use than the "Trace Route" and "Activity Reports" you have found.
Here's a presentation you can read all about Activity Trace that might help to explain how to use it.
Whichever feature you decide to use, you will need to create something that will read the PCF messages that MQ emits, and write whatever you need to see in the Windows Event Log.
It also worth noting that it is unusual to require a log for every message that is put or got. If you're doing millions of messages a day, how can you realistically make use of such a log? Is there a specific requirement behind this?