Last modified: 2014-02-14 06:27:37 UTC
Failure and skip log entries are logged on the wiki that the message was intended for, not the wiki it was sent from. This makes tracking down what messages weren't sent difficult.
This might actually be a feature. Consider <https://meta.wikimedia.org/w/index.php?oldid=7303298> which sent messages to a officewiki, a private wiki. Had any failures been logged on meta, it would have leaked private info (user account doesn't exist, where a page redirects to, etc).