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Message windows are text windows that contain special information displayed by some servers when you open a connection. Message windows usually contain information such as hours of operation, use restrictions and rules, number of open connections, and information about the files on the server.
Separate message windows are only displayed when the Display server messages preference in the General Preferences pane is set to in transcript and in separate window.
Messages from the server are always displayed in the Fetch Transcript window, regardless of whether you've chosen to display them in separate windows or not.
You can save the contents of message windows to a file with the File > Save a Copy As command, or select text in the window and copy it to the clipboard to be pasted elsewhere, just as you can with any other text window in Fetch.