How to build and embed the output of a Message entity created by the Message module?
Got it.

$message = message_load($mid);
$build = $message-&gt;view();
$build += array(
  '#theme' =&gt; 'message',
  '#entity' =&gt; $message,
  '#view_mode' =&gt; 'full',
);  
$output = drupal_render($build);