Well I can tell you why they aren't in HOI4 and it's likely the same reason they aren't in CK3 but I wouldn't know for sure there. Paradox multiplayer games are of course played without pausing. Pop-ups force more pausing. Everyone who works at Paradox plays multiplayer for balance testing. So everyone at Paradox plays without pausing. So the mandate is to eliminate pop-ups as much as possible and use flashing alerts instead. This is also why you don't get a ledger. That's not a direct quote, but we went back and forth with Podcat about this a lot when the game was released. At the time there were promises made about creating a new, better system that gave the same sort of information without a pop-up message.
Apparently message settings also eat up dev time, which is the reason why we don't have them anyway since OPTIONAL settings allow people to play however they'd like.
Quite frankly the other reason why is what you are going to see happen to this thread. It'll get about 50-100 likes and agrees, will quickly drop off the top of the forum, and then every once and a while someone will come along and say "Hey we should have message settings" which will get another big chunk of likes and agrees and then drop off again. For very people are the lack of message settings a deal breaker, as in they won't buy the game and won't play the game. So Paradox is free to ignore the few folks for whom it is. Message notifications and settings are basically never mentioned anymore on the HOI 4 forums. They'll wait it out, it'll vanish as a constant complaint, and that'll be that.