You can message your coach directly by clicking the Message icon to the left of your Coach's profile picture. 

Sending a message is just like composing an email. Type a subject, then the body, then click Send via Email when you're ready to send.

Your coach gets an email just as composed by you, and can reply right to the email. The reply comes right to your email, keeping you in the loop.

As the conversation unfolds, the Stream on your page gets updated accordingly, which means this exchange is automatically captured in the growing record of your coaching relationship: