(I think *any* question involving Message from Elrond is bound to be pretty random...)
So, Message from Elrond says:
Action: Choose a player. That player may choose 1 card from his hand and add it to another player's hand. At the end of the round, if the chosen card is in that player's hand or in play, shuffle it into its owner's deck.
Now, consider Rallying Cry:
Response: After an ally leaves play, add it to its owner's hand instead of placing it in the discard pile.
Valour Action: Until the end of the phase, add each ally that leaves play to its owner's hand instead of placing it in the discard pile.
Can you use Rallying Cry to "rescue" an ally you've Message from Elrond'ed to another player back into your hand? Here's the issue as I see it: assuming the ally isn't already in a discard pile, at the end of the round, the Message from Elrond effect will trigger and the ally will leave play on the way to being shuffled back into its owner's deck. It is NOT heading to the discard pile, so neither Rallying Cry's Response nor Valour Action can apply... can it?
Upon contemplation, I guess a more relevant question would be: can you use Rallying Cry to rescue a Ranger of Cardolan that's been put into play via that ally's Response effect? (" At the end of the round, if Ranger of Cardolan is still in play, shuffle it into its owner's deck. ") But I like that I've managed to mention Message from Elrond, so I'm going to keep the question framed that way.
Related but somewhat separate question: Is the "end of the round" outside any phase? (Specifically, the Refresh phase during which Rallying Cry's Valour Action might be relevant here?) I'm pretty sure this sort of thing has come up before, but I can't remember the context.