I too have looked for an answer to this and best as I can tell, they are not written to disk. I tried setting a message and the grep'ing over the files in the Splunk directory without getting any hits. Further, the fact that the messages do not persist after a Splunk restart makes me think the messages are kept in memory only.
Yea, what the goal was is to "distribute" the message to multiple instances. Best way at the moment would be to contact the endpoint /services/messages/ and do a REST call to the machines. Then delete them afterwards.