Do I have to Connect before I can message someone?

In general, yes. In order to message connected Members (who are outside of your Company) via your dashboard, you must connect with them first via "Connect."

However, while in the Profile space, you can message Team Members of other Profiles without being connected, but only after clicking "Express interest," selecting a Member to message, and sending the message request. The recipient Profile will have to accept the request, after which you can message back and forth to connect about potential projects and collaborations.