I tried in my test installation with shanghai timezone setup and it shows correctly.
Please again check your timezone setup, if require change to UTC and save, again shanghai and save.
Then send a message, and check front end as well as back-end to check time of that message.
Go to Dashboard > Front End PM PRO > All Messages to check that message time in back-end.
If both places show wrong time, Then deactivate all plugins and change theme to default theme and send message and check time.

Let me know.