IM messages aren’t really documents. They are text with some very minimal formatting that could be expressed with markdown. Any media attached isn’t embedded in the document, it’s attached externally / rendered at the bottom.

The only example I can think that messages are expressed as documents is Microsoft Teams. And it’s as much an example of what not to do as anything.

Eh, XML is a machine-readable generic markup language. Why would you prefer using a less powerful format like markdown in a context like message representation? XML with inline tags seems the perfect fit.