Ok, sorry, the error was server side, on the LS console.
The reported message is issued by the default Remote Metadata Adapter (i.e. the LiteralBasedProvider) upon a client message.
In fact, there is no default implementation for NotifyUserMessage.
You have to code a custom Remote Metadata Adapter and use it in place of the LiteralBasedProvider (you can, however, inherit from LiteralBasedProvider).
There, you can put your own implementation for NotifyUserMessage.
(I had to correct again some previous posts; in the .NET interface, the method name starts with a capital letter).

As said in a previous post, your Remote Metadata Adapter should then communicate with your Remote Data Adapter. The best way to achieve this is to run both adapters in the same process. There is no direct support for this, but the provided "StandaloneLauncher.cs" shows an example of a program doing this by leveraging the Lightstreamer.DotNet.Server interface.