I found this very confusing also when I was learning ServiceBroker...
If I recall correctly, a Dialog
is a type of Conversation
(**). Now as it happens there is only one type of Conversation (Dialogs), so they are effectively the same thing, and the doc frequently talks about them as though they are the same thing. But they are not quite the same, and if Microsoft ever adds another type, then it will be important to distinguish between them.
A Messsage
is pretty much what you think it is: Conversations consist of a sequence of Messages.
(** -- I may have this backwards. Hopefully @RemusRusanu will correct me if I do :-) )