There are two kinds of messages I want to talk about: private messages and between game messages.
First private messages: I love the tension created by sending a private message to a player who just looted a treasure chest in a room by themselves. Now, I could run that room with just the two of us and skip the messages, but that’s a lot of work, so I run it with all the players at the table, but keep quiet about the loot. This means there will always be some doubt that the player is telling the truth about what was in that chest and I find that to be a lot of fun.
I’ll also use private messages to send information about an infection, disease, or some kind of hidden condition that may or may not be contagious or problematic. For example, in Mothership’s The Haunting of Ypsilon 14 there’s a disease that gives the infected player advantage on Strength checks and fully restores their health, however they also have an aversion to water. I tell the player that so they know how to act from here on out, but I don’t tell the other players because of the tension it may create. (There are some other negative effects of this particular substance, but I do not tell the player what it is because they wouldn’t know about it.)
The other kind of messages I like are between-game messages, mostly because I’d rather reserve our time together for playing the game instead of going shopping or doing bookkeeping like leveling up characters. I’d rather spend a few minutes here and there sketching out the available shops and reminding players to level up before the next session.