I am using the Task.init() approach
and then running RandomizedSearchCV
(not using ClearML's HPO).

Trying that now passing verbose=3
to sklearn's class.
I can see the verbose message on the clearml's console tab while the search runs so this is a kind of a poor's man solution to my problem buy may be enough for now.

Regarding using clearml HPO, will it create multiple experiments on the UI for each tested hyperparameters set or would i be able to see all those trials in a single experiment.
This is a curial point for using clearml HPO since comparing dozens of experiments in the UI and searching for the best is just not manageable.