Based on the documentation https://symfony.com/doc/current/mailer.html#messageevent

MessageEvent allows to change the Message and the Envelope before the email is sent

However right now you can do only the following:

• modify the Envelope object or replace it with a new one
• modify the Message object (e.g. change subject, update recipients)

But you can not replace the Message object, even if there is a method setMessage on the event.
The reason is that the AbstractTransport does get the updated/replaced Envelope object from the event, but not the Message object:

        if (null !== $this->dispatcher) {
            $event = new MessageEvent($message, $envelope, (string) $this);
            $this->dispatcher->dispatch($event);
            $envelope = $event->getEnvelope();
            // here we should also get the message
        }

So why would we need to replace the Message object in the first place?
One example would be the signing of messages (see example here https://symfony.com/doc/current/mailer.html#dkim-signer) in a listener. The signer does not modify the existing Message object, but returns a new instance. If we then use $event->setMessage($signedEmail) it simply doesn't work, because it's going to be ignored in the transport.

See also this comment here, where someone encountered the same issue: #39354 (comment)