Assume the organization is abc.onmicrosoft.com.
After having logged in as a user with Global Administrator and having granted all the required permissions in the Graph Explorer, the following query-
"https://graph.microsoft.com/v1.0/users/some_user@abc.onmicrosoft.com/messages"
The following is the response-
{
"error": {
"code": "ErrorAccessDenied",
"message": "Access is denied. Check credentials and try again.",
"innerError": {
"date": "2021-03-19T08:10:19",
"request-id": "ffb0c7bd-8194-4fa4-afa4-22d1af483e2e",
"client-request-id": "4195b1bc-7d86-9209-1c0b-a71396ccc5cb"
}
}
}