Hi ,
Fews things to know:
1.Whenever messages comes in , the messaging agent looks for the subscriber in the subscription table
2.Orchestration's first receive shape creates its subscription
3.Filter on send port creates subscription for it
4.Filter won't be applied it is binded to logical send port in Orchestration
Answer to your question:
If there is no subscriber for message then that particular message is suspended and you can see it in Suspended Item section on Group Hub page. Also you will get error in Event Log