Hello. I just tested Property-Set-Messages and Page-Set-Messages on the latest 7.1.8 release for both PRPC PegaSample and OOTB Pega Customer Service and both are appearing as expected. Please try the same. If your local implementation is not rendering as expected, then there may be a local override and you may want to log a support request for further analysis.
There are at least dozen issues with Page-Set-Messages and Property-Set-Messages. Probably it's the time to redesign these methods from scratch by elaborating all possible scenarios where a developer might use these (In Modal dialogs, pop-ups, tabbed interfaces, Using Page-Set-Messages method with blank step page in an activity rule, with a step page changing the context of the step to some other class than the Applies-To class of activity, If the 'Activity' that uses Page-Set-Messages is configured in an Action Set (On Click - Run Activity)..etc etc)