It's not just an issue with the message. Even characters with 1 Dex will always catch returning melee weapons (e.g. dwarven rune axe) and be able to throw them again. These same characters will almost always drop returning missiles (e.g. boomerang).
Interesting, thanks for the info, jt. Kinda makes the mechanic pointless, since it doesn't apply to 99% of the stuff you'd want to use, but I'm not sad to see it go.