gz_msgs is a library that allows the transmission of messages to and from Java and C++ programs.
gz_msgs currently requires libprotobuf-dev on Debian like systems.
If it's not found via pkg-config, then it's build is diabled.
You can force it by specifying -PmakeSim on the gradle command line.
If you are installing FRCSim with the script, then this should have be done for you.