I haven't seen ActionMessages used as part of an action form's validate method. As far as I know, unless you return a list of ActionErrors, nothing will be saved to the request for processing by the input page. In order to see the ActionMessages in action, I would suggest that you create a single action in which you do the following:
Make sure that your struts-config for the page you want to forward to has
redirect
set to false, and that the page itself has the
tag.