I figured out the keyword is NOTICES.

However this section of the docs doesn't work / didn't had any effect:
https://docs.sqlalchemy.org/en/13/dialects/postgresql.html#notice-logging

What worked was to manually clear and print
conn.connection.connection.notices like this:

if notices:
    conn.connection.connection.notices = list()

conn.execute(stmt)

if notices:
    print('----------')
    print('\n'.join(conn.connection.connection.notices))
    print('----------')

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