@mperham added the deprecation in ba2ec58.
>2013-06-27T15:16:58Z 81426 TID-ox2rymsws WARN: Defining `retries_exhausted` as a method is deprecated, use the `sidekiq_retries_exhausted` callback instead`

Having access to a backtrace might be useful, outside of that I wouldn't do anything with the msg itself.