There are messages, but they aren’t secure/encrypted if that matters to you. Aside from that the discussion will be found on posts themselves. Enjoy and welcome.
As others have said, there is no built in chat function. You can DM, but it's kind of weird with how it's laid out and how notifications are delivered sometimes.
There is the ability to link a Matrix account directly to your Lemmy account so that users can DM you there instead. If you've never heard of it, it's kind of like Discord but more secure. Download the 'Element' app if you're on mobile and want to check it out.