Why not use a simple script?
file=$1
if [ ! -f $file ]; then
echo "File not found!"
else
rm -f $file
fi
When you run it, the script will tell you whether a given file does not exist.
You can also redirect to both stderr and stdout by using 2>&1 after the echo command. You may also add an exit 1 at the end of the if statement, because an exit status of 1 generally indicates that the command was not executed successfully.
This will not work in the exact way as you intend it to, but in bash this is the closest way of detecting errors.
rm -f blahblahblahdoes not print an error message on my system. Does it on yours? What system?set -e,trap...