Best technique to debug checkout panes
You probably don't see a message because the results of the hook you're implementing are cached; you need to clear the cache to get the code to run. You'll want to clear it from within the browser so the message is put in the right session.

Perhaps the easiest method for this is to install the Admin Menu module, which gives you a direct link to flush the caches. When the page reloads after the cache clear, you should see the checkout pane details. 

I'd recommend sticking with dpm() (assuming you have Devel installed), that's the best of the three methods in your code for inspecting vars.