This, I believe, is the first appearance of a Messenger in the play. Not that it is the first message – but every message before has been delivered by a character.
It is interesting how many layers of remove this Messenger is from the origin of the message. Shakespeare makes a point of those layers as well. The sailors (who have direct contact with Hamlet and Horatio) have passed the letters to “Claudio” who has passed them to “Messenger.” Who is Claudio? A guy with a similar name to the king…but otherwise, his only purpose in this play is to receive letters from nameless sailors and deliver them to a nameless messenger. I don’t think it’s insignificant that “Claudio” has a name – but is not important otherwise.
In some sense, it would be a protection for the messenger to be somewhat anonymous. His motives are less questionable if he is simply his job.
I am always delighted to see a Messenger in a play for obvious reasons and this one is especially delightful.