The Message Sequence function requires several instances among which the sequence of messages should be drawn.
Originally, when no instances were selected on the current drawing, all instances were considered, and when a single instance was selected in the moment of the Message Sequence invocation (typical when used via context menu on an instance), Visio asked the user to select the second instance between which to draw the sequence. Even the order of selecting these two instances was significant - appropriate sequence direction (left or right) was chosen by default in the following dialog.
Such a behaviour is also described in the help section Microsoft Visio Front-end -> Automatic drawing -> Message Sequence.
The current state is different, however. Nowadays, it is necessary to select two instances immediately.
Thus, to fix this issue, the original behaviour should be re-implemented, or the help should be updated to reflect the current state if it proves to be more user-friendly.