The messages page is where all of your conversations are. Every time someone responds to one of your updates, you respond to an update you receive, or just want to have a conversation, all conversations are found here. Each conversation is private and direct, there are no group chats. Inside each conversation, you will see response blocks that refer back to specific updates, and clicking on that block will return you to the specific update. The indicator on the navigation bar at the bottom of the screen will alert you if you have an unread message. You can turn on notifications for this in settings.