so smth like:

void setup()
{
#ifdef DEBUG // turn on the Serial monitor if #define DEBUG is uncommented in MyConfig.h (MySensors library)
  Serial.begin( 115200 ); // only debug to serial monitor during development
#endif
  // setup a connection to the MySensor's gateway and request an ID if we do not have one yet.
  gw.begin(incomingMessage);
  gw.sendSketchInfo(SN, SV);
#ifdef DEBUG // Print some debug info
  Serial.println( "Radio is connect right." );
#endif
  // Initialize the digital pin as an output.
  pinMode( PIEZO_PIN, OUTPUT);;
  gw.present(CHILD_ID, S_BINARY);
  gw.send(sireneMsg.set(0));
}

How does the feedback looks like in the receive part?

void incomingMessage(const MyMessage &message)
{
  if (message.type == V_STATUS) {
     // Change sirene state.
     digitalWrite(PIEZO_PIN, message.getBool() ? 1 : 0);
     gw.send(sireneMsg.set(message.getBool() ? 1 : 0));
  }
}

That you mean with receive feedback right?