I had a similar problem with connecting Instagram Ads. The first message needs to be a message, instead of a condition. 

I already talked about this to the Manychat Team and they said they would have a look at it. I will also add this to my initial request so they know it’s also a problem on Facebook.

I have this problem on both Instagram and Facebook. I thought it was because I had an action right before the message but I tried severaltimes deleting the action and connecting it directly to the message and I still get “Choose the first message for Messenger channel to set up Facebook Ads”.

I even tried creating a brand new direct message and I still get the error. Sigh.