Drupal Form PHP Passthru
theme('status_messages') will output all of your messages those are pushed using drupal_set_message()

EDIT: 

If you are processing your form via ajax call then you can return the status messages by following code example. Use it in your ajax callback where form is being posted.

$messages = theme('status_messages');
drupal_json_output(array('status' =&gt; 'OK', 'data' =&gt; $messages));