I am of the opinion that Wedge's roleclaim is true.
If, IF, he is a killer mailman though (I do like the sound of that role xD), and he has the ability to send reports or kill each night, I would say that he would tell the truth about who he mailed, and then lie when he kills (in an attempt to uphold innocence). Though I must stress this again, I am only speculating this idea to understand how Penelo's claim could be true. I think that while unlikely, it is plausible.