I was running some tests today and changed my own status to moderated so that i could give the other mods in my test group a chance to try out approving, editing, and rejecting messages. This action didn't show up in "moderator activity" and also didn't show up when I specifically checked "poststatus changed" under moderator activity. Not sure whether this is just planned and not yet implemented, or is a bug.
One positive comment I got from the group (this is a group of pets yahoo group moderators who are also considering to moving to Groups.io): they're glad that they can send a message to explain a rejected post.