It's your responsibility to back up your Mac. Hard drives fail. They always have. Apple provides a nice interface called Time Machine to back up your machine. All you have to do is plug in an external drive and turn it on. If you operate without a backup you are tempting fate. If everything were lost on your Mac due to a hard drive failure, you'd lose it all.
Apple's Time Machine page
As for your messages, they are not backup up from your Mac to the cloud. If the conversation is also on your iPhone or iPad, you may be able to recover it from there. Otherwise, your "accidentally deleted" important message is gone.