Years ago stage plays opened in New Haven to work out the kinks before hitting "the real deal" on Broadway. Josh Logan has some wonderful anecdotes about opening out of town in his marvelous memoir Movie Stars, Real People, and Me.
Opening where the critics weren't close at hand was also a welcome idea.
Those days, thanks to the internet, are gone forever.
What does that have to do with you?
If you keep a blog, and you post about your submission travails, I get to read it along with everyone else. Particularly if you link to your blog in your query letter. If you have a handy little category labelled "agents" "editors" "submissions" "rejections" you BET I'm going to read those.
So, tonight, I now know a query I was considering has been rejected elsewhere, AND what the author's response to that rejection was.
I urge you, caution you, warn you, beg you: there is no privacy on the web. Post it, and the world knows it.