Discussions are collections of comments posted by multiple users, organized together under a single topic. When you use the “Start Discussion” feature, you are creating a new Discussion topic, adding starter text that gives more information on the Discussion topic, and sharing the Discussion with others so that they can leave and respond to comments. This Discussion is kept under your Discussion application and it will always be accessible to you in your account.
The “Send Message” feature is more like an email and less like a document. You use "Send Message" when you want to send a direct message to your friends or coworkers. You can also attach anything in your account to your message and send it. Unlike “Start Discussion” there is no copy of any messages that you send kept in your account. These are email messages sent directly to the recipients of your message.