After a lot of searching I found out that Log2Console needs the Chainsaw Target in NLog, and the TCP/IP one that the receivers dialog shows doesn't work (atleast for ASP.NET apps).
Could you add an NLog example to the UDP receiver example, below the log4net example?
<target name="n1" xsi:type="Chainsaw" address="udp://127.0.0.1:7071" />
<logger name="*" minlevel="Info" writeTo="n1" />
Also make sure people know it has to be an IP address, as localhost won't work.