I think that I figured it out. I click on the challenged player's name
and then on the left side of the player's page, I click on 'send a message'.
Is that the only way to send a message to the challenged player?
If you set up a challenge with yourself playing white, you can do an in-game message with your first move. The risk here is that the opponent will delete the game without opening it, so the separate personal message is probably a better idea.