When you are testing with the sandbox you will need to login the the developer center and create your test users. You can have cc info for the users that you can use to test transactions on your site. You must ensure though that you are going to the Sandbox instead of the live PayPal site. In your checkout server behavior there is a use sandbox option, make sure this is set to true.
When it comes to the error messages I'm not sure about what you are asking here. You should be able to expand the bindings for you checkout on the page and drag and drop the bindings for the error message directly onto the page. The bindings you have for this should be based on the local checkout you are using. You can add the bindings by going to add > eCart > checkout > local checkout response, then choose the direct pay option for the Payments Pro.