If you set \tracinglostchars=2, then the message is printed also during the run on the terminal
This is XeTeX, Version 3.1415926-2.3-0.9997.5 (TeX Live 2011)
restricted \write18 enabled.
entering extended mode
(./lostla.tex
LaTeX2e <2011/06/27>
Babel <v3.8m> and hyphenation patterns for english, dumylang, nohyphenation, ge
rman-x-2011-07-01, ngerman-x-2011-07-01, afrikaans, ancientgreek, ibycus, arabi
c, armenian, basque, bulgarian, catalan, pinyin, coptic, croatian, czech, danis
h, dutch, ukenglish, usenglishmax, esperanto, estonian, ethiopic, farsi, finnis
h, french, galician, german, ngerman, swissgerman, monogreek, greek, hungarian,
icelandic, assamese, bengali, gujarati, hindi, kannada, malayalam, marathi, or
iya, panjabi, tamil, telugu, indonesian, interlingua, irish, italian, kurmanji,
lao, latin, latvian, lithuanian, mongolian, mongolianlmc, bokmal, nynorsk, pol
ish, portuguese, romanian, russian, sanskrit, serbian, serbianc, slovak, sloven
ian, spanish, swedish, turkish, turkmen, ukrainian, uppersorbian, welsh, loaded
.
(/usr/local/texlive/2011/texmf-dist/tex/latex/base/article.cls
Document Class: article 2007/10/19 v1.4h Standard LaTeX document class
(/usr/local/texlive/2011/texmf-dist/tex/latex/base/size10.clo))
No file lostla.aux.
Missing character: There is no ā in font cmr10!
Missing character: There is no आ in font cmr10!
[1] (./lostla.aux) )
Output written on lostla.pdf (1 page).
Transcript written on lostla.log.
If I also add \usepackage{fontspec} I get instead only
Missing character: There is no आ in font [lmroman10-regular]:mapping=tex-text!
Update
With TeX Live 2021 (and an up-to-date MiKTeX), you can get an actual error by setting \tracinglostchars=3. This works with both XeTeX and LuaTeX.
\tracinglostchars=3
\documentclass{article}
\begin{document}
tām आ ṁ
\end{document}
On the console you'll get
! Missing character: There is no आ (U+0906) in font [lmroman10-regular]:mapping
=tex-text;.
l.5 tām आ
ṁ
?
! Missing character: There is no ṁ (U+1E41) in font [lmroman10-regular]:mapping
=tex-text;.
l.5 tām आ ṁ
?
(Thanks to ShreevatsaR for pointing to the recent update.)
Best Answer
There's no support for exit codes different from 0 or 1, I'm afraid.
The presence of warnings, as opposed to errors, can be checked for with the
texloganalyserscript.