In the configuration of your mapping you should be able to instruct the module to print the 'not found' messages.
In the settings Tab of a mapping you can change the option 'Mode' to advanced to show additional options. This is what they mean:
I would recommend to leave these on the default value, unless you are experienced in using Mendix transactions I would not recommend this to be changed to anything else.
All messages are printed through the lognodes:
Replication_MetaInfo - prints generic info and messages about parsing of specific values
Replication_MetaInfo_MainObject - prints (not found) messages specific to your primary import object
Replication_MetaInfo_AssociatedObjects - prints all messages specific for all associations
So to summarize specifically for your scenario. If you change the Mode to 'Advanced' and check the box 'Print not found messages' after the synchronization the module will print a message very similar to this (the token |KEY| is used to separate the key values):
Statistics - NotFound Objects are listed below: Type: TEST_DbReplication.Order_Import - Order 22519|KEY| Occurences: 1 - Order 22520|KEY| Occurences: 1 - Order 22521|KEY| Occurences: 1
What I can recommend is to load the data in a Mendix table without any validation. If you add a field processing status (either enumeration with different statusses, or a text field) to this table (default _New), you can then start processing the imported data and update each line with the processing result. You can use the field as a filter in an overview form.