Remember that RSSI pin 6 of the 2mm pitch Xbee connector isn't the same as the 6th hole on the .1" pitch connector of the Xbee Explorer USB. Infact, RSSI is the 7th hole on the board if you start counting 1 from the RSSI led. Sparkfun is a bit confusing with their chosen pin count scheme.
Since you are a beginner I have to emphasize that aside from connecting the RSSI pin to the Moteino you also need to connect the ground GND pin to it. Only 1 wire won't do.
While you are at it. Please make a photo of the setup of your Xbee Explorer USB, MoteinoMega and how the wires between them run. It is unclear how the serial pins are connected. The code expects 2 serial devices. "Serial" being the connection to the PC, and Serial1 being the connection to the XBee. But you probably have the Xbee ontop of the Explorer board, which is then connected directly to you pc. .... IF I am correct in my understanding sofar. So I'm not going to have a look at those Xbee settings yet. I want to make sure the electronics are wired up good first.
Do you get any other (readable) text sent across the serial port to the pc? If not, then it is not hooked up as intended.
I took a look at the Moteino website here:
But I don't understand to which UART port (Serial, or Serial1) those RX and TX on the (short-)side connector are connected to on the chip. So, if it is TX0/RX0, or TX1/RX1. I may not have searched well enough, but I couldn't find a schematic of the MoteinoMega in pdf.