I have similar issue but with Table Lookup.
I setup a Table Lookup rule in my Data Load Definition
The functionality works fine whenever the table lookup fails. An error message "Failed to retrieve lookup value" is shown in the response.
To customize the message, i setup a custom message in "Error Message" textarea available in Table Lookup page.
But this message doesn't show up when the the lookup fails. Only generic message is shown.
I would appreciate if someone can respond on how to display a customized message whenever failed table lookup happens.
This would make it easy for the user to identify the errors in comparison to the generic message displayed by apex.