I do not know what you mean for "show messages in eclipse-pydev".

Generally speaking, as you can see in the code, QgsDebugMsg is a define that use QgsLogger, and QgsLogger documentation says:

http://qgis.org/api/classQgsLogger.html#details

that you can use QGIS_DEBUG (level 0,1,2,3) and QGIS_DEBUG_FILE env vars to generate log file