Any time you have a question about a command on a Red Hat distro such as Fedora, CentOS, or RHEL it's best to utilize the package manager tools rpm or yum.
If the package isn't installed then use yum to see what it's about.
$ yum info <package name>
If it's already installed then you can also use rpm.
$ rpm -qi <package name>
Example
$ yum info fedmsg
Loaded plugins: auto-update-debuginfo, changelog, langpacks, refresh-packagekit
Available Packages
Name : fedmsg
Arch : noarch
Version : 0.7.7
Release : 1.fc19
Size : 465 k
Repo : updates/19/x86_64
Summary : Tools for Fedora Infrastructure real-time messaging
URL : http://github.com/ralphbean/fedmsg
License : LGPLv2+
Description : Python API used around Fedora Infrastructure to send and receive messages with
: zeromq. Includes some CLI tools.
If you have the name of an executable and aren't sure what package it's a part of you can use the command repoquery:
$ repoquery -qf </path/to/file>
Example
$ repoquery -qf */fedmsg
fedmsg-0:0.7.7-1.fc19.noarch
fedmsg-0:0.6.8-4.fc19.noarch
So what does it do?
The link that was posted in the comments to the project's website says it best:
fedmsg (Fedora-Messaging) is a python package and API used around Fedora Infrastructure to send and receive messages to and from applications. See Overview for a thorough introduction.
So what does it really do?
If the technical jargon is too much to stomach then the bottom line is this.
fedmsg is a project to provide a messaging bus that the various tools in the packaging toolchain can use to relay information to each other as to their states for various build/packaging related tasks.
Take Koji for example. Koji is Fedora's automated build system for compiling RPMs. Here's a screenshot:

So as tasks are scheduled and built via Koji the state of where they are in the process is not easily exposed. The idea of fedmsg is to provide a messaging bus so that services like Koji can share the state of these activities with other systems within the packaging toolchain. Right now a maintainer of a package has to sit there and periodically check the web UI to see if a build has completed successfully.
The overview page has a more detailed description of fedmsg if you want more info.