When a new key is created with "gpg2 --gen-key --output -" gpg says "gpg: revocation
certificate stored as '/xxx/.gnupg/openpgp-
revocs.d/2599E85476901C5A1C5DC92DEA26F37AB95887F3.rev'" but no such file is created.
The rev cert is instead printed to stdout.
GnuPG should either create the file or not print this message.