In my case it was not working because of the return.
Instead of using:
return RedirectToAction("Rescue", "CarteiraEtapaInvestimento", new { id = investimento.Id, idCarteiraEtapaResgate = etapaDoResgate.Id });
I used:
return View("ViewRescueCarteiraEtapaInvestimento", new CarteiraEtapaInvestimentoRescueViewModel { Investimento = investimento, ValorResgate = investimentoViewModel.ValorResgate });
It´s a Model, so it is obvius that ModelState.AddModelError("keyName","Message");
must work with a model.
This answer show why. Adding validation with DataAnnotations