This is part of the Casablanca project, an incubation project at Microsoft and owned by the DevLabs group. It is a pretty fresh project, first I heard about it was about 3 months ago. It may well have been going on longer, not sure.
You are not going to find any of the Casablanca tools in the standard VS distribution, this project is a long way off from being a core shrink-wrapped Microsoft product. Incubation projects are a vehicle to explore promising technologies that some day may pay off. Microsoft has never been shy about exposing what they are working on, getting feedback from their customers to find out what works and what does not. No "don't put your finger on the antenna of the phone" surprises.
They are definitely bucking a major trend in cloud computing, they are using native C++. This has been in the domain of VM languages for a very long time. Reflection support is a pretty important asset. But clearly, to make any of this work it is rather important that serializing C++ objects reliably is a major requirement. Thus this "msgtool".
The landing page for the project is here. They offer installers for VS2010, VS2012 and the latest crop of Express editions. Click the buttons on the right to get it going. I didn't actually try it but you ought to end up with "msgtool.exe" after installing it. Make sure you can deal with a project going bust after committing to it, the most typical outcome for these kind of projects at Microsoft.
UPDATE: do note that the linked web page is no longer available at the DevLabs site. The true project home page mentions:
Our documentation is no longer available on the DevLabs web site, only in the downloaded files
You can find the copy of the linked page in Casablanca_Samples.zip\Documents\actors.html. Navigate to the "Serialization" section and compare the two. At the exact spot where "msgtool" is mentioned, you'll now see it talking about the msg_ptr<T>
template class. So yes, it certainly looks like this tool is no longer supported or included with the current SDK, if it ever was.