Make sure you select the REST DPH.
In the REST configuration panel, your argument is /conversations/{DevTestPropertyName}/messages
(single parenthesis around the property name)
This will create a request argument called "DevTestPropertyName", and will match all requests that have a base path of /conversations/anything/messages. You can use this for your matching (in case it's something useful like a correlation ID), or you can delete it using the Request Data Manager DPH if it's not needed.