If you want to execute an
adb pull comand and at the same time monitor the on-device log via
adb logcat you can do so by executing each command individually in it's own terminal/cmd.exe instance.
adb is not limited to a single connection (as the MTP protocol is). Hence you can execute two or more adb command simultaneously. Even multiple adb push or pull commands can be executed at the same time.
However I doubt that doing so will get you much insight regarding your problem with
adb pull that some files are not copied via adb pull. The main problem is that
adb logcat just displays the log of your device. All errors on adb level, for example if a file could not created on your PC or transmission problems between device and PC are not covered by this log as the device does not know about them.
Additionally I am not sure that the on-device adb daemon writes messages to the logcat log at all.