Host messages allow you, the host, to send messages to your participants. It works in the same way as it would for a participant; type in a message, press send and the message will appear in the list.
There are 2 things that differ from a normal message though. Firstly these messages will appear in whichever message list you are currently viewing. Remember participant messages will either go to the 'published' or 'needs review' list depending on your moderation settings.
Secondly it's the colour. We think host messages are important, it's your chance to communicate back with your audience and you want people to take notice. That's why the host message will appear in black to your participants so it's stands out from their messages.