Currently you can use fep_filter_message_query_sql hook to change sql and return your desire messages.
We cannot pass multiple user id now to query. I have changed the query class so that we can pass multiple user id query. Next version you will get this. Then we will be able to easy achieve this.

You can see this changes in https://github.com/shamim2883/front-end-pm/commit/5786895fc0d01c07694c711331201942d2300b15

after this changes we can easily use hook like bellow

add_filter( 'fep_message_query_args', function( $args, $user_id ) {
	$args['participant_query'][] = array(
		'mgs_participant' => 4, //which user messages you want to show with current user
		'mgs_deleted'     => false,
	);
	return $args;
}, 10, 2 );