This widget only works for facebook page. Message option must need to enable from Facebook Page Settings.
To make sure the messaging option is enabled - go to your page (with the facebook login which have administrative access of that page)
then you will see "settings" option on top right. Click on it
Make sure the messages tab is checked in.
You can setup - vacation reply or auto instant reply and many more on messages tab - settings area.
On Module Settings
All you have to input your "Facebook Page URL". Customize some options as you require.
That's it! Click - Save or Save & Close and you're done.