Use 'default value' in table when NULL
Using another left join:

select
    a.dbname
    , coalesce(b.msgval, d.msgval) as msgval
from
    list a
    left join msg b on a.dbname = b.dbname
    left join msg d on  b.dbname is null
                    and d.dbname = 'alldbs' ;


or a cross join (this requires an 'alldbs' row to be present, otherwise it will return 0 results.):

select
    a.dbname
    , coalesce(b.msgval, d.msgval) as msgval
from
    msg d 
    cross join list a 
    left join msg b on a.dbname = b.dbname
where d.dbname = 'alldbs' ;


SQlfiddle

Both queries assume there is only one row with dbname = 'alldbs'. If not, use the apply version provided by AndriyM.