If this was your first Apple device, then you'd have no iMessage history to worry about moving over. If it was just your first iPad and you had an iPhone that you'd used for messaging, then you would restore from the iPhone backup to get that content onto the iPad.
Transfer content from your previous iOS device to your new iPhone, iPad, or iPod touch - Apple Support
The reason the other things (contacts, calendars, notes, reminders,...) came over with a new setup is because they in fact are not part of a backup but instead are synchronized across your iCloud account connected devices in real time using iCloud as the sync server. So when you set up as new, they just sync'd over to the new device from the iCloud cache'd copy. iMessages (and SMS/MMS texts from an iPhone) are not sync'd to iCloud at all and live in your device's storage, and get archived into your backup when you update it (and note that each iCloud or iTunes backup is incremental, so deleted messages are removed from the backup and only ones saved on the device are ever backed up).
The bottom line is neither iMessages, nor SMS/MMS texts on iPhones are sync'd anywhere and a device backup is the sole means of archiving and safe keeping them. Same goes for whatsapp and other 3rd party messaging services (unless they also offer their own online archiving, but I don't know of any that do, nor any carrier that archives texts either).
For the iPhone and other smart phones, there are apps to extract and archive SMS/MMS texts, if you need to keep an independent backup of those messages.