The FaultTo has to be set by the sender. As you say, this isn't possible when the message comes from outside the ESB domain. At the moment you'll have to do this using one of the Notifiers or within your own Action. Sometime between now and the next major release we're going to try to add some default support for things like this within what are currently referred to as the gateways.
BTW you're right about the lack of a good example, so I created http://jira.jboss.com/jira/browse/JBESB-1644 which you could monitor.