Well, the session manager I used then was rox-session, now I'm using lxsession, which seems to be more popular. The bug now is: I start i.e. audacious on first display, switch to the second, start another audacious there. Both are playing. I stop audacious on the second and logout there. That stops audacious on first too, as while pulseaudio gets restarted, audacious still holds connection to the server that died. What's more (but that's (argueably) probably a bug in audacious), I need to kill audacious, as I can't just close it then. As for debug messages, it's probably a matter of personal preference, but I see console debug messages for GUI programs on non-errors as bad design - stuff like "gtk critical" is one thing, printing messages on missing non function essential (and as you mentioned yourself, often unneeded) modules is another. I'd go with a graphical indicator for that stuff (not a popup, rather an icon, or even a square filled with a different color). While every now and then people run GUI programs from terminals, usually they're run in a way that sends the output effectively to /dev/null. PS: CC part stands.
