In R2020a and before, custom actions were not officially supported for ROS Toolbox. It's noted in the documentation here:
"ROS actions are not currently supported and will be ignored during the custom message generation."
Unofficially, it seems that actions worked to a certain extent if the package files were created correctly. In R2020b and R2021a, only officially-supported features were included when the custom message workflow was revamped.
Custom actions are available in R2021b.
As an FYI, in R2020b+, there is no need to use a package.xml or CMakeLists.txt file for the custom message folder. Those files are ignored, as MATLAB generates its own based on the dependencies specified within the message definitions.