This is where any messages that are sent to you from other settlements will be displayed. Newer messages are displayed higher up. Clicking on the delete link below messages of course deletes that message, and clicking on the reply link will bring you to a page with only that message being displayed, and the Send Message section already pointed to the settlement that sent that message. To send a message, choose the kingdom that the settlement you want to message is in, then choose the settlement from the drop-down list and type your message. Messages that you send are saved for seven days on the "Sent Messages" page.
If you are receiving inappropriate or unwanted messages from another settlement, you may block messages from that settlement in one of two ways: you may either click on the "Block" link under one of the messages that they sent to you, or you may go to your list of blocked settlements (linked to at the top of the messages page) and select the settlement that you would like to block from the drop-down menu at the bottom.