The Scheduler control doesn't have the KeepInEditMode property like the Grid control does so it's not a built-in feature.
A good work-around should be something like this:
-- perform validation
// check if validation failed
// cancel the event
e.Cancel = true;
// show the edit form again for the appointment
-- show message
The code above is assuming you're using the AppointmentInsert/AppointmentUpdate events, since they can be canceled.
I hope that helps.