Thanks for the reporting the issue, Richard, and happy new year (I'm just coming back from a little party) for everyone in the right time zones
What JKRich said is correct, a game number helps seeing if there are any circumstances that may explain a behavior, and sometimes people simply misremeber, like how much money or debt they had, etc.
In this case, the explantion is as follows:
The relevant card text:When this is your first buy in a turn, gain a card costing up to $4, and each other player gains a copy of it.
So the ability triggers when you buy
the Messenger, which happens before you would normally gain
it. While handling that triggered ability, the game made you gain a Messenger (as your $4 card) and your opponent. Then it tried to give you a Messenger because you bought one, but since there are no more Messengers, it couldn't.
This is also mentioned on the w.ds page
Messenger's on-buy effect happens before you actually gain the Messenger. This can matter if you choose Messenger for everyone to gain, or if everyone gains a card like Border Village (allowing other players to gain an extra Messenger before you do), and there aren't enough copies of Messenger left in the pile to fulfill all Messenger gains.
So this is not a bug, but a consequence of how on-buy abilities work.