I'm struggling to understand what part of this makes you think you have to type it on the end of a URL? Anyway, to answer the question you asked (which may not be the answer to your problem)
* Go to Site administration > Users > Define roles
* To the right of 'Authenticated users' (role) click the edit cog
* Find the Filter box and type 'sendmessage' in there
* Make sure the capability moodle/site:sendmessage is enabled / ticked
As it's on by default, I would be surprised if it is not.
* Go to Site administration > Users > Define roles
* To the right of 'Authenticated users' (role) click the edit cog
* Find the Filter box and type 'sendmessage' in there
* Make sure the capability moodle/site:sendmessage is enabled / ticked
As it's on by default, I would be surprised if it is not.