Yes, in current configuration messenger is available only for logged members, because only logged members can send messages.
Or maybe you would like to make such kind of blocks readable only for all?
I understand and I suspected it a little. Messenger should be integrated into the per-level permission system for writing.
Also a way to banish a member, even if it is registered as is the case for the shoutbox in dolphin.
I guess it will come later?