How do I remove Message app from my MacBook Pro?

If you mean the Builtin Messages App from Apple - it is part of the Operating System and can not be removed or deleted. It can be removed from the Dock by just drag and drop to an empty space on Desktop and the Apps is no longer in the Dock. It is still installed and in the Applications Folder

This link to Apple Support page will show to Sync messages in iCloud and all devices. In there, just reverse the setup method to remove the computer from syncing message to iCloud.

Have a Good Day