Does the pool just send those funds back to the address from whence it came?
The coordinator probably just refuses to include you to the CoinJoin.
This is what I don't get, and I apologize for my ignorance. I should download the new version and play around with it so I can become more familiar with the way it works. Don't you have to send a transaction to the Join Coordinator server, and if so and it's rejected, what happens to that transaction?
I'm pretty sure when you 'send your UTXOs' you don't actually 'send' them in the sense that you create and sign a transaction (unlike when depositing into an exchange). You send the identifiers of those UTXOs; then the coordinator sends them to Chainalysis, waits for their answer, then it tells the client whether they're good or bad. If they're good, you can sign the transaction. Something like that.
I haven't tried it, nor checked the code, but I'll investigate on this later.