The string passed with this keyword specifies a file to which output generated by :call-count and :clos-info is written (in that order). The value nil means write to *standard-output*.
Compatibility Note:
In LispWorks 4.4 and previous on Windows and Linux platforms, the default value of :diagnostics-file was "dvout.txt". The default value is now nil on all platforms.
LispWorks Delivery User Guide - 10 Aug 2017