MacOS Messages Emoji as Type?

Apple hasn't yet implemented that functionality which is more a function of the iOS keyboard than the Messages app itself. You can click the Emoji button on macOS Messages or press Ctrl+Cmd+Spacebar to pop open the emoji browser which has a recently used list of emoji or you can search for an emoji. You have a full keyboard on a Mac which you do not have on the touch screen iPhone.

I would guess the development of iOS Messages and macOS Messages are entirely two different development / engineering teams. Apple did bring several things over from the iOS version. But again, the keyboard completion is due to the iPhone touch keyboard and not so much the App.

Submit your feedback to Apple here:

Feedback - Messages - Apple

Well, why don't you use the great text expansion features of macOS to make this happen?

Type LOL and have it automatically show 😂?

Easy.

System Preferences->Keyboard->Text

Press +

Type the abbreviation or alias text on the left, and the substitute on the right.

😂 (guess what I typed)