We've had customers integrate third-party chat/messaging apps and some customers that have added their own in-app messaging functionality using Knack features.
If you're interested in the third-party option, it will require custom code and the set up is different from one app to the next. We'd suggest asking for help in our community forums, where other users have worked together to get their apps integrated: https://support.knack.com/hc/en-us/community/topics.
If you're trying to set up a messaging option using Knack features, then what we see most users do is use the emails function in forms to allow users to send messages to one another.
We've seen customers set up this messaging workflow in many different ways, so we'd suggest starting simple and then adding more functionality/customization once the basic messaging is working.