What come out depends on the loop filter characteristics. If they aren't correct you will not recover the modulation.
Explanation:
The PLL contains a VCO which should free run close to your carrier frequency. The phase detector compares the free running frequency (and phase) to the carrier frequency and produces an error voltage if they are different. The error voltage is then filtered by the loop filter components so it is somewhat slower to follow the difference. The VCO frequency is then controlled by the filter output to bring it back into line with the incoming carrier.
If you shift the incoming carrier by frequency modulating it, the VCO will try to track it because the phase comparator will generate a error voltage to keep them at the same frequency. If it did it immediately with no loop filter delay, the VCO would simply be a copy of the incoming signal. If the filter delay was too long, the VCO would settle at the average of the incoming frequency because it couldn't react quickly enough. If you get the loop filter response just right, it will follow the changes caused by the modulation so the error voltage is the copy of the original modulation you are trying to recover.
Brian.