working with graphics

The only support in the Messages application to save a text message conversation is by selecting the sender's name under the search field, and then printing to PDF. Unfortunately, images will be black rectangles.

You can click once on a single text message and it will change its shade. Then you can copy/paste that specific message's text into Pages. You can click once on a single text message image and then drag and drop that into Pages. This is as good as it gets with Text messages.

Can you explain what you are doing more clearly?

One can enter text (and returns) within a suitably resized Pages shape that you have inserted into the document from its Shape tool but you cannot add text to raster or vector artwork that you have dropped into Pages.

When you introduce an object into Pages, it remains selected in the foreground, floating over the body text. With its Text Wrap set to automatic, it forces text to flow around the object, and this is most noticeable with a transparent background image. You would need to click back in your body text to deselect the object at a text position where you want that return applied.