Well, not sure whether it is a bug or by-design, but yes - messenger locks while sending messages (for instance, if you'll try to send a message from within another message's handler you'll get a dead-lock).
The issue was discussed at mvvm light toolkit project site and the solution was proposed as this pull request, but afaik it is not yet confirmed and merged into trunk.
As a temporary workaround until a new version of toolkit is released you can get sources and apply changes mentioned above - those will solve the issue.