There is also another catch to the way you specify the value of the property. The developer guide example specifies a sample value as below.
<property name="rejectedMessageHandlers" value="file://c:\rejectSample\reject"/>
However, it will not work. As pointed out in the OTN thread
you need to add a additional slash after the file: as shown below.
<property name="rejectedMessageHandlers" value="file:///c:\rejectSample\reject"/>
I agree this is pretty dump. However it if you are reading this you might be already used to such dump things from the SOA suite.
P.S. In case you are wondering the location of the default folder for the rejected messages, it is
I have not yet found a way to keep the name of the original input file.