Actually, I just install the plugin, activate the plugin, and click on customer chat and select the facebook page to start chat. That is all I did. and I can see the chat Icon on the page but also see that message.
It was working fine with older version where I had one version below current wordpress as well as one below version of messenger chat plugin i.e. 1.3.
But I upgraded new wordpress and new version of messenger and I started seeing that message.