How to delete element "bpmn:Message" using modeling?

You should use elementRegistry to get right elements from the diagram:

var is = require('bpmn-js/lib/util/ModelUtil').is;
var messages = modeler.get('elementRegistry').filter(function(element) {
  console.log(element);
  console.log(is(element, 'bpmn:Message'), is(element, 'bpmn:Activity'));
  return is(element, 'bpmn:Message');
});

Cheers,
Vlad