I created a ci build in tfs 2015.3. On the trigger tab I set gated check in.
Is there a way to let the developer now in vs that the build failed. Currently there is no way, I do not want to use alerts, I would like for a message in vs.
In addition, when the build fails, the files are checked out on the build server, how can I cancel this behavior, this requires a tfs admin to release the files.
In TFS 2013 there used to be a tool called Team Foundation Build Notification that shipped with Visual Studio 2013. However this is no longer the case.
If you don't want to use e-mail notifications there are third party applications that you can run in your tray to receive build notifications. I have used catlight myself recently for the exact same problem. If you are using a chat application like Slack you can also integrate build notifications into your team's slack channel to be notified on build failure.
To answer the second part of your question it is important to understand what a gated check-in does exactly.
When you check-in and a gated check-in is triggerd your files are not checked in but TFS creates a shelveset instead. TFS will then perform a private build using the latest version of the sources in combination with the shelveset it just created. Only when the this private build passes the pending changes in your shelveset will be checked in by the build on behalf of the user who triggerd the gated check-in. This will create a new changeset.
Upon check-in all locks will be released so all files that have a check-in or check-out lock will be released when the build server checks in your changes on behalf of you.
When the build fails no the changes in the shelveset (created when the gated check-in build was triggerd) will not be checked-in by the build server thus the locks will not be released. In the source control explorer the files will still have pending changes (and be checked-out) because the changes in your workspace have not yet been checked-in. This is the intended beheaviour and should not cause any issues for you unless you have disabled multiple check-out and you are, by having these files checked-out, blocking other developers from making changes.
I would not advise you to use a gated check-in when also not allowing multiple check-outs. Furthermore I would not advise disallowing multiple check-outs if it can be avoided in any way.
A gated check-in is meant to safeguard the repository from receiving check-ins that would break the application (it no longer compiles or unit tests fail) or diminish the quality below your standards. However this also means you cannot check-in until all the rules and validations you have in your build process pass and thus means other developers will be locked out until you are able to get past the "gate".