I see, your problem is related to http.

We're not going to change the stderr behavior for local hooks. It's
intended, correct, and standard.

Http usage presents other difficulties, as there's no side path analogous to
stderr available in either http or our changegroup protocol. However, we've
had a patch in place since around 1.0 to capture such messages:

http://www.selenic.com/hg/rev/be76e54570f0

What version are you using?