Your understanding is correct that Finesse Desktop does not have Agent-Agent or Agent-Supervisor chat functionality and Team Message as it used to be in CAD. Refer below White Paper that lists all the differences between these two desktops:
http://www.cisco.com/c/en/us/products/collateral/customer-collaboration/finesse/white-paper-c11-736448.html?cachemode=refresh
Regards
Deepak