I didn't see the message is correct.
This is confusing because it happened in the past and makes you think you need to use "saw", as the past tense. However, the past is applied to "to do" not "to see" in these negative statements. "See" in this case is actually a bare infinitive (an infinitive missing the "to" part).
That why you have:
- I did not (past) see (infinitive) the message.
It's the same in the present:
- I see the message
- He sees the message
- He does not see the message (not he does not sees the message)