Even adding something as simple as drupal_set_message doesn't result in a message being displayed.
I know the hook is firing because I can add a watchdog message in the hook and see it in the logs. The watchdog message is about the only thing I tried that DID work. Curious about other options that may or may not have results, I tried looking at Actions and Triggers and Rules. I basically decided to try to do something simple on logout, like add a message. But even those modules don't work! I was actually really suprised when Rules didn't work.
Is this some sort of problem involving drupal_goto? Hmmm. I am on the verge of just adding JQuery to every page to check every link to see if it is a logout link and then adding a click event. It will work for my purposes, but it is such a hack. I would prefer not to.