Just found this issue. Here are steps to reproduce:
1. Enroll 10+ students in your course.
2. Go into Participants link and use the "Select" check box to select multiple students, then use the "With selected users.." pull down menu to send a message.
3. You will see a HTML editor to write up your message. This is not consistent with the plain text editor which you get when you just send the message to a single user. If you try to format the message using the HTML Editor, if the student gets the message through Moodle message UI, then he/she will not be able to see the format (but if he/she gets the message in Email, then the formatting will shows up).