For an env_message to work, you must provide the actual message in a file called titles.txt. Here's an example:
MESSAGE01
{
SUBJECT:
Gordon Freeman
Male, age 27
}
MESSAGE02
{
EDUCATION:
Ph.D., MIT, Theoretical Physics
}
MESSAGE01 and MESSAGE02 are the message names which you enter in the message name property of the env_message.
For formatting options (color, fade-in/out time, old time, etc), take a look at the default titles.txt file for examples.
Note that when using your own messages with your own titles.txt, you need send this file to everyone who wants to play your map, so in this case, using the game_text entity is probably your best option.