Is it possible to have a link to their messages when they go to their account page?
Right now the default dashboard does not include the messaging link and I need to create the link on a separate page. Is there any way to integrate this into the dashboard?
Which plugin you are using to create user dashboard?
When you go to message page see the address bar, that is your message page url. Add that url to account page.
If you want to integrate full message system in account page you can use shortcode [front-end-pm]. Remember to add your account page as Front End PM Page in Dashboard > Front End PM PRO > Settings > General