Well, you could add a parameter userCancel=1 and have a conditionally rendered piece of text that only renders if the parameter is set. Depends on how you are navigating. If you are using pages.xml, you can add parameters. OTOH, with the pageflow, parameters are much more difficult (impossible?).
Actually, thinking about it, the faces messages should last across the redirect. Seam promotes the temporary conversation to a long running one till the redirect has executed. Therefore the faces messages should go over the redirect.