I think you'll find that the reason that that text is not appearing is that that code is not even being executed. Place a breakpoint on it using the F9 and see if it gets hit to see for yourself.
Yes, you do need a Main method as the entry point for your app but, as I said previously, that Main method is not being used as the entry point. In VB.NET Windows apps since VB 2005, some called the Application Framework is enabled by default. That does various things for you, including creating a Main method. In order to use your own Main method as the application entry point, you must first disable the Application Framework. You can then specify a form or module containing a Main method as your startup object.
If you actually did use that Main method of yours as the entry point for the app though, your app would exit immediately because there's no blocking call in there. Show returns immediately so you would display the form, display the text and then the Main method would complete and your app would exit. In a proper Main method you call Application.Run, which blocks until the specified form is closed, which is why closing the startup form closes the app.