Yes you can do it but not through the cockpit. After enabling the logs for <app>,User.* and saving the setting. Go to the C:\SAP\MobilePlatform3\Server\configuration\com.sap.mobile.platform.server.agentry directory (assuming you installed to the default location) and edit the AgentryLogging.ini file with a text editor. Find the corresponding line for <app>.User.*=5.N where the number corresponds to the level and the N should be changed to Y to generate individual log files. Restart the SMP server instance. You will get a separate log for each user and transmit session.
--Bill