Does the same technique which FastMM4 for Delphi provides to report memory leaks to a detailed file work if the application runs as service? Of course the best practice would be to write unit tests and a simple standalone application first, and find the leaks there, outside the service environment.
As Lars Truijens notes, writing to a log file requires file system privileges. The default Local System account (i.e. when you do not set an account explicitly or logon in your code) has full access to the local file system but has no default network access.
FWIW - I typically develop my services as regular Windows apps until the main part of the logic is up and running and stable. Using a library like SvCom allows you to run your services as a regular desktop application or as a service without any code changes.