You are only creating the message, you also need to add put it somewhere (the message does not work the same way as exception), in this case you add it to the context:
FacesContext fc = FacesContext.getCurrentInstance();
UIComponent root = fc.getViewRoot();
UIComponent component = root.findComponent("unameId");
fc.addMessage(component.getClientId(fc), new FacesMessage("Username does not exist."));