You either didn’t successfully save the message or you’re trying to view messages from within the wrong list.
If you only have one list, then you didn't successfully save the message. From within the message creation screen you must click Save Changes to save your messages. You should do this periodically when creating messages.
If you have more than one list, make sure that you selected the list your message was created in.
If you created the message in List One, but are in List Two when you go to Manage Messages to edit or work with the message, the message will not appear. You need to go to Lists and click on Select List, choose the list the message was created in. Then you can return to the Manage Messages screen to find your message.