By default, messages page is publicly available and this can cause issues when users that are not logged in try to access it. A generic 404 page may show up as well.
To mitigate this problem, you can use additional arguments to [peepso_messages] shortcode.
1. [peepso_messages guest_behavior="silent"]
2. [peepso_messages guest_behavior="login"]
If you decide to use first shortcode for the messages page, once users that are not logged in try to open the messages page, they will not see anything. It will be just an empty space where messages should be.
Second shortcode option is by far superior because it forces the display of login form on the page where messages should be.