Despite the correct answer being "Illinois" not "Michigan" (smart ass, I know...

), I think you could easily do this with Expression Manager. It will involve quite some code, because I think you will have to create this for every single question you want to show the error, but it should be totally fine.
I am no programmer, but I would go like this:
if question1 is not equal "correct answer" write ....
There are quite some good examples on tailoring and "reporting" in the documentation. TMSWhite has made quite an effort there.