public class MyMessage : IMessage { }

OR

public interface IMyMessage : IMessage { }

One of the advantages of using interfaces to define messages instead of classes is that you get "multiple inheritance" - one message can extend multiple other messages.

This is useful for solving a specific class of versioning problems.

Say that your business logic represents a state machine with states X and Y. When your system gets into state X, it publishes a message - EnteredStateX. When your system gets into state Y, it publishes a message - EnteredStateY. (For more information on how to publish a message, see below)

In the next version of your system, you add a new state Z, which represents the co-existence of both X and Y. So, you define a message EnteredStateZ which inherits both EnteredStateX and EnteredStateY.

When your system publishes EnteredStateZ, clients subscribed to either (or both) EnteredStateX or EnteredStateY will be notified.

Without the ability to have a message extend multiple others, you'd have to use composition. This would prevent the infrastructure from knowing how to automatically route messages to pre-existing subscribers of the composed messages.