WM_INPUT events are the raw input events that windows translates directly from each device. E.g. you get a message with raw mouse deltas from each mouse you have plugged, instead of the windows cursor position that you get with the normal input events. A program has to register a callback, in order to receive those events.
I would like to know if a program, e.g. a videogame, has requested to get those events. A powershell script or bat would be fine.
https://learn.microsoft.com/en-us/windows/win32/inputdev/wm-input