Hi morleyj,
Why would you want to remove the Messages app? If it helps, you can sign out of iMessage inside the app so that you don't receive messages on your Mac anymore. To do this, open the Messages app, go to the top of the screen and select Messages -> Preferences, select the iMessage tab, then click Sign Out.
The reason you cannot remove the Messages app is because it is protected by System Integrity Protection (SIP). SIP keeps your Mac safe by locking down critical system files so that no one or no software can modify them, except for system updates. Unfortunately, Apple decided to protect their preinstalled apps (such as Safari, Messages, and FaceTime) with SIP, so that they cannot be removed.
There is a way to temporarily disable SIP and remove Messages, but this could possibly result in macOS updates being applied incorrectly.