Currently, only messages that are a part of a SSH_PROMPT reaches the GUI. If the PAM conversation prints out another message, perhaps something about the system being down for upgrades on friday, these will not be visible in the client.
Another case when this is a problem is during password changes (see bug 2640). If the Windows server does not accept the new password, an error message is printed, which is not part of a SSH_PROMPT:
[root@course1 ~]# /opt/thinlinc/lib/tlclient/ssh user2@localhost
SSH_PROMPT:You need to change your password nowChanging password for user2(current) NT password:
SSH_PROMPT:Enter new NT password:
SSH_PROMPT:Retype new NT password:
Password too short
Your password must be at least 2 characters; Please type a different password. Type a password which meets these requirements in both text boxes.
This sequence will only happen if either pam_unix/pam_cracklib is disabled (not likely) or if the AD server has a more strict policy than the local one.