To add an Message to your Course, drag the Message icon from the Course Builder Tools onto a day or step.
From there it's essentially a matter of composing like any other Message: a subject line and the message itself, with the option to add rich text formatting by clicking on the "Enable formatting" button below:
Note as well that you can set the recipient to be either the course participant, or "Me", i.e. whomever is the assigning coach for the course participation (which in a Team Edition account can be someone other than the course designer!).
Sending a message to coach can be a useful prompt, for example letting coach know that so-and-so reached a particular milestone in the Course and that a review and/or personal note might be in order.