From what I understood you will only retrieve 20 messages by request, and you have to play with the "newer_than" and "older_than" params to retrieve the messages you want.
I guess that if you want to retrieve all the messages, you can use the data export api (https://developer.yammer.com/docs/data-export-api). You can specify an interval of dates between which you want to retrieve messages. You have to do a little of parsing because it send you back a zip containing some csv files, one of these file contains all the messages.
