When sending a sign request, you can include a custom messsage that will be delivered to the recipient(s).
The message will be displayed in the email they receive as such:
Once the recipient has signed the document, they have the option to include a custom message back to the sender as well, show below:
This message will be displayed in the 'finalized document' email:
It will also be displayed in the document's audit trail, under 'Message':
This workflow is similar for rejected sign requests, as shown below: