What steps will reproduce the problem?
1. loader.addEventListener(BulkLoader.ERROR, onError, false,0,true); 
2. loader.add("http://localhost/RVY_stocks_10_L.jpg");
3. private function onError(evt:Event){trace(evt.text);}

What is the expected output? What do you see instead?
in an SWF it's ok:
Error #2035: URL Not Found. URL: http://localhost/RVY_stocks_10_L.jpg
however in AIR it's only:
Error #2035

What version of the product are you using? On what operating system?
version 0.4, XP, compiling in FDT using the Flex_3_SDK_0_Pure_for_FP_10 SDK

Please provide any additional information below.
instead of trace, I log the errors, but that part is Ok, as anything else
hard coded instead of the (evt.text) will be logged in AIR as well.