There is no difference in how logging works depending on technology you use.
It seems, that your Visual Studio is configured in such way, that it shows caught exceptions handled internally by Mail.dll (e.g. handled exception that log4net is not found). You should simply continue program execution or configure your IDE correctly.
Do I need the log4net.dll in this case ?
Mail.dll uses "soft" reference to log4net - if it is not found, it is not used nor required. This is a common practice in using logging tools.
If you don't want to use log4net, you can use standard Visual Studio’s trace output window or Trace.Listeners collection as described here:
https://www.limilabs.com/blog/logging-in-mail-dll
If so where can I find it?
log4net can be downloaded through log4net website, or from nuget.