It will have worked perfectly but since all commands are executed immediately in any action, the user didn't have time to see the feedback. I don't know which version you are using, except that it is not CP2017 (look at the new AA dialog box in this article: Advanced Actions Dialog box in Captivate 2017 - Captivate blog )
If you are on Captivate 9, you can use this action for the Last Attempt:
Show Feedback
Delay Next Actions by x seconds you have to estimate how many seconds are needed to read the Feedback message
Go to Next Slide
If you don't have CP9, alternative approach is to increase the slide duration by as many seconds as needed for the reading, after the pausing point of the click box. Replace the action by:
Show Feedback
Continue
If you don't want to fix the reading time, you can offer a Close feature to the Feedback. Easiest way is with a hyperlink over a big X as described here:
More is in a...hyperlink - Close button - Captivate blog
That hyperlink can have the command 'Go to Next Slide'.
BTW Since you probably will need the action multiple times, I would recommend using a Shared instead of a normal Advanced Action.