Where is stored the messages results from T-SQL? I would like to know if SQL Server store all messages related to T-SQL in a system table or in other object from Database Engine.

Because, I don't know if this is a response of engine or some other stuff.





Now, I did this to capture transactions



And I need to do that for each transaction that I want to "control" (number of register inserted, deleted or updated)
The message you're seeing is not generated by SQL Server itself; it just returns "12".

SQL Server Management Studio generates the complete message; it's a .NET application so it's probably coming from a .resx file which gets compiled into the application package. With a decompiler or DLL analyzer you might be able to find it among the other messages.