Example code and output to show the exception being thrown and Fault message being published once with MassTransit 2.9.5 and RabbitMQ

Program.cs

namespace Faulty
{
    using System;
    using MassTransit;


    public interface FaultyCommand
    {
        string Id { get; }
    }


    class Program
    {
        static void Main()
        {
            IServiceBus bus = ServiceBusFactory.New(x =>
                {
                    x.UseRabbitMq();
                    x.ReceiveFrom("rabbitmq://localhost/test/faulty_consumer");

                    x.Subscribe(s => s.Handler<FaultyCommand>((context, message) =>
                        {
                            Console.WriteLine("Command: {0}", message.Id);
                            throw new InvalidOperationException("Expected to fail: " + message.Id);
                        }));
                });
            using (bus)
            {
                IServiceBus faultBus = ServiceBusFactory.New(x =>
                    {
                        x.UseRabbitMq();
                        x.ReceiveFrom("rabbitmq://localhost/test/fault_monitor");

                        x.Subscribe(s => s.Handler<IFault>((context, message) =>
                        {
                            Console.WriteLine("Fault: {0}", message.FaultType);
                        }));
                    });

                using (faultBus)
                {
                    bus.Endpoint.Send<FaultyCommand>(new
                        {
                            Id = "12345"
                        });


                    Console.ReadKey();
                    Console.WriteLine("Exiting...");
                }
            }
        }
    }
}

ZOutput.txt

Command: 12345
Command: 12345
Command: 12345
Command: 12345
Command: 12345
Fault: Fault<FaultyCommand>

ZProgramUsingMSMQ.cs

namespace Faulty
{
    using System;
    using System.Linq;
    using MassTransit;
    using MassTransit.Testing;


    public interface FaultyCommand
    {
        string Id { get; }
    }


    class Program
    {
        static void Main()
        {
            IServiceBus bus = ServiceBusFactory.New(x =>
                {
                    x.UseMsmq(m => m.UseMulticastSubscriptionClient());
                    x.ReceiveFrom("msmq://localhost/faulty_consumer");

                    x.Subscribe(s => s.Handler<FaultyCommand>((context, message) =>
                        {
                            Console.WriteLine("Command: {0}", message.Id);
                            throw new InvalidOperationException("Expected to fail: " + message.Id);
                        }));
                });
            using (bus)
            {
                IServiceBus faultBus = ServiceBusFactory.New(x =>
                    {
                        x.UseMsmq(m => m.UseMulticastSubscriptionClient());
                        x.ReceiveFrom("msmq://localhost/fault_monitor");

                        x.Subscribe(s => s.Handler<IFault>((context, message) =>
                        {
                            Console.WriteLine("Fault: {0}", message.FaultType);
                        }));
                    });

                using (faultBus)
                {
                    bool subscribed = bus.HasSubscription<IFault>().Any();
                    if (!subscribed)
                    {
                        Console.WriteLine("Timeout waiting for subscription to Fault event");
                    }

                    bus.Endpoint.Send<FaultyCommand>(new
                        {
                            Id = "12345"
                        });


                    Console.ReadKey();
                    Console.WriteLine("Exiting...");
                }
            }
        }
    }
}

Both the RabbitMQ and MSMQ versions output the same results.