That does send a message, but I haven't seen it being effective yet.
Over here, we have a very bad municipal government, so when elections came, with a bad officialist candidate that was called a "fridge" and divided opposition, over 15% voted "none".
So far, it hasn't had much of an effect (though the governing party has taken note of it, for the next elections).
You should not arbitrarily vote for candidates who do not match your beliefs as part of some sort of protest.