Hi, I'm using ubuntu 16.04 amd64 with Pd 0.46.7, I've installed Zexy library from repositories, from Deken, compiled my self, download builds for other OS and I've couldn't find msgfile.pd on any of them. I only can find msgfile-help.pd. Can anyone point me to the right direction here, because it seems nobody is complaining about. Was working for me before with pd-extended. Thank you very much...

i still have it, i installed zexy with deken on windows.

I think [msgfile] is generated by the zexy.dll.
I also found this in the Readme.txt. in the zexy folder which may explain things if you compiled it yourself.
multi-object vs single-object libraries:
by default, zexy builds a single library "zexy" that contains all objects.
if - for some obscure reason - you insist on having a lot of small libraries
each containing a single object, you can enable this by using the
"--disable-library" flag