Well although there is no more reference to this feature in the preferences, the previous messages feature isn't exactly a hidden feature.
You can access it via the Messenger Plus! icon in the conversation window:
But I must say that I like the idea of having some hints to other not so well documented features in the preferences window. There is AFAIK no way a user can find out that Ctrl+Up shows the Previous Messages window because it's mentioned nowhere. The only problem is that the preferences windows are already pretty filled up.