NRPE does not have its own log file, everything goes to /var/log/messages. It would be nice to have a dedicated log file for NRPE.
To do that add the following lines in your NRPE configuration file. In my case the configuration file is /etc/nagios/nrpe.cfg
and add the following lines to rsyslog configuration file. In my case the configuration file is /etc/rsyslogd.conf
And now, restart rsyslogd and nrep: