The question "Unable to set drupal_set_message() after logout redirect" got marked as a duplicate of a Drupal 7 issue, while this question is for Drupal 8.
I do not have enough rep points to do anything else, but start a new question to get this fixed.
The issue should be detached from the linked issue on top and the linked 'fix', both are for D7.
The issue should be marked as open, no fix applies to this particular issue (yet). None of the available answers is actually valid.
A fix for this is not the easiest, try redirecting on a form validation added via hook_form_alter() + set a drupal_set_message() before redirecting to get you going (I'm also still searching. Events, EventSubscribers, separate service all won't work).
It works from a kernel EventSubscriber, but from a validation callback function is a big fat?
So please re-open the issue.