How can I set a message on the page I am `drupal-goto`ing towards?
You are setting a NULL message in drupal_set_message, the correct syntax would be:

if ($userNeedsToBeRedirected) {
  drupal_set_message("You've been redirected because ...");
  drupal_goto('destination');
}


The second drupal_set_message $type parameter is for the message type:


'status'
'warning' 
'error'