The MSC Nastran Installation and Operations guide has a section entitled "Customizing the Message Catalog" in chapter 3.- this describes where the messages are and how to customise them. It gives the locations as:
Juan, I completely agree with you on that point. Remember that setting the System Cell XMSG to 1 will give you the "extended" message from the message catalogue, not all messages have additional information and of course looking the number up in the catalogue directly gives you all the info as well, but then interpreting what it means with respect to the analysis model is not always easy.