Hello,
As it's said on the documentation :
If the history plugin is activated, each time the order is modified, the modification will be recorded by the plugin. The history events will then be displayed here as an unmodifiable listing. If there are no history events for an order (it should not happen when the plugin is active as an event is recorded on creation), this listing won't be displayed.
So each time you check the "set history message" and set a message, your message will be displayed through the "Information" column of the "History" tab of your order configuration page.