When you review your guests, you remember how there are 3 kinds of messages?
1. The public review (everyone sees this)
2. The private message (only the guest sees this, not the public at large)
3. The confidential message to AirBnB (the guest does NOT see this)
When the guest reviews you, there are equivalent messages.
You are familiar with the public review, and sometimes will receive a private message to you.
The message that AirBnB is referring to in this case is the 3rd type: the confidential message to AirBnB that the guest did NOT want to share with you.
This is why you can't see it: it was not intended for you to see.
It would be a betrayal of confidence for AirBnB to share the contents of the message with you.
The advice the other host gave about asking the guest directly in a non-confrontational way is great advice.