I'm not a messenger, but have talked to a few recently. Some of the big things in that are the trendyness of riding a single speed, simple looks to not look flashy enough to steal, and less stuff to break. One of the possibly biggest things behind that is most of those guys run fixed gear, meaning they have no brakes and just use the downward force on the back pedal to slow to a stop. They do this because they are out there 5 days a week in the rain, sleet, snow, and whatever else falls from the sky that gets on your rims and causes you general brakes to be nearly useless. If left to rely on the basic road-bike brakes, they would have to ride even slower to avoid being hit by cars at intersections and whatnot.
Many times they don't have time to lock thier bikes up, nor a place to do so. I have been told that running your u-lock through the frame and rear wheel will almost always keep someone from stealing a bike because they cant ride it away and have to go through too much trouble to get the lock and/or parts off back at the shop. Generally your messengers will only be in the building for a couple minutes to drop the package off with the receptionist. In that amount of time there is little chance of someone nabbing the bike.
I feel like I'm rambling now... One more reason for the lack of locking the bike is the major hurry these guys are in. They compete greatly to see who can deliver the most packages and the quickest. Many of them are paid on comission and/or tips. The more packages they deliver in a day, the more money they make.
I hope that helped
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