User Data Relay Frames can only be sent and received on the serial line if it is configured for API mode (ATAP1). The Digi mobile app does not notify you if it fails to deliver the data (which it will because you must be in API mode). That could be a feature to request, that the app notifies you of a failed send.
To add to this, as of right now it modules can only act as BLE central devices and cannot talk to each other. In the future they may be capable of being peripheral devices.