Eliminating Dependencies vs Eliminating Redundancy

Question

Upon my assignment to a project, I discovered that many message classes were received and then kept intact and passed around inside the receiving application. When these messages changed, code throughout the entire application had to be changed. Since this problem, I have gotten into the habit of converting messages to a new format upon reception.

However, it feels like I am directly violating DRY (don't repeat yourself): I have these near-identical internal classes that I create from external messages.

Where is the line between eliminating dependencies and eliminating redundancy? Should each module have their own data formats?