There are a few issues with the other solutions I originally used that I found from other wikis. I address the issues I had in this much simpler and shorter way. I am also going to explain what is going into way more detail than others to help people understand what's going on.
In this short how-to I will show how to customize setFlash() to display messages (flashes) styled to be success confirmation, error report or notice information. And how to achieve displaying errors in other way.
With the adoption of PJax on Yii2 things have change quite a bit with GridView when it comes to work with them in AJAX mode. It will probably be confusing at the beginning, but then you will soon realize how powerful the new approach is.