Graph API is now the go-to solution for retrieving service messages from Admin Center (with the old API retiring mid December).
"List messages" api request returns all service messages for tenant except for those with "Microsoft Windows" tag (they are present in Admin center and added to synchronized Planner).
In my case it is about 25% of total items. The issue also exists in old Service Communications API.
After contacting premier support I found out that this is "by-design".
In my opinion it would be greatly beneficial for Graph API to actually return all tenant service updates as it is stated in documentation.