This behaviour is described in Table 39 (DMACONFIG register) of the arch reference manual. Its one of the "experimental" features so not well documented I guess.
It changes when the dma is considered 'finished'. Normally the dma is marked finished when the last transaction is started since the dma engine has nothing left to do, and could start new transfers straight away (e.g. chained). But if you're writing to local memory (the only place where msgmode works) then this isn't very useful - because one or more of the DMA transfers will still be in-flight (somewhere out on the mesh network, making their way to completion).
Message mode amounts to adding another step (or annotating the last one) which amounts to tracking the last write, and when that is done the dma is marked as done. It's only valid when the target is local (16-bit address).
The fact the example only works with it own is demonstrating why it is needed - otherwise there wouldn't be any point.
PS afaict this bit has nothing to do with the MESSAGE interrupt; dma interrupts are as normal even with msgmode set (i.e. when the dma channel switches to idle). But I can't find anything in the manual at all about the message interrupt, it may just be reserved for software use.