Messages sent to users within Canvas are called Conversations. See Canvas Instructor Guide > Conversations to learn how to use Conversations.
The following video includes an overview of Conversations:
IMPORTANT! If you are an instructor who has taught in Blackboard in the past, you are accustomed to automatically receiving a copy of any messages that you send. In Canvas, you must edit your notification preferences to indicate that you wish to receive copies of your own conversations; these are not sent by default. See Canvas Instructor Guide > How do I set my Canvas notification preferences? for instructions.