So, you have at least one of the categories Chat, Instant Messaging and maybe Social Networking, Content Delivery Networks blocked and want to use messenger.com though?
https://domain.opendns.com/messenger.com
You either unblock these categories, or you add the domains being used by Messenger to your "never block" list. To see what domains you have to add, visit https://dashboard.opendns.com/stats/all/blockeddomains to identify the domains related to Messenger.
To give you an idea what domains may be used by Messenger, see this list, domains from their main page only:
https://www.webpagetest.org/result/170810_1B_131C/1/domains/
But whitelist only those domains which are actually blocked by your settings according to your blocked domains stats, else if you whitelist by guessing, you will just unnecessarily fill up your 25 whitelist slots.
A really hot candidate for white-listing is xx.fbcdn.net where most of the content seems to be hosted on its subdomains static.xx.fbcdn.net and scontent-lga3-1.xx.fbcdn.net.
