Group message works in a different way then multiple recipient.
If you want separate message for each members then multiple recipients option is what you want. You can select multiple recipients from Directory and send message to them (Select “Send Message” from Bulk Action dropdown) so that you do not need to type user name one by one. Or you can collect your users ids, Then go to “New Message” and in url paste like &fep_mr_to=1,2,3 (where 1,2,3 is user ids separated by comma) then press “Enter”. This will fill up your “To” field with those users so that you do not need to type one by one.