If you go to the message page its kind of big and I like to play around with sizes and looks. Would this be possible or is this setting kind of set? It looks same on all my sites even with different themes so wonder if its possible?
If you want to do more, you can always edit the core files. But you have to know what you are doing. And you have to document your changes, so that you can add them again after a core update. For example, we are using Bitbucket and SourceTree for the versioning.
There's one thing you need to keep care of - It's better not to mess with the class names. On the message page there're scripts (JS/jQuery), which rely on those classes. That being said - This also means, that you have to make sure, that you keep up the overall structure, so that tabbing through the messages will work after your changes!