Hi Andrew,
Its working correctly. Messages are received and can be viewed using the "View Messages" link.
Tthe message is received and therefore the user sees a confirmation message. There is no need to show an error message just because you have not configured it to send to an email address. Messages are not lost.
The forwarding of the messages to an email address is optional. Click the gear icon next to the title of the contact form and set the email address to receive it in the settngs. And make sure smtp is configured correctly. Then it will forward the messages as they come in. It won't resend messages already received though.
Hope it helps,
Joe