The revise post messages are actually sent by the system user so if you have a look in their inbox you should see it. 
There is a feature request to include moderators in the PM too, which would be very useful if anyone replies to one:
ETA: (Unless you’ve set a user as the site contact username, in which case the revise post PM would also be sent by that user instead of @system)
Though just to double-check as it’s a little ambiguous - You linked to this post about the Revise Post feature, but refer to the Rejection message. Which button did they press?
