Understanding short online videos involves more than identifying visible objects and actions; video makers often include an underlying message or purpose in the clip. We introduce VidMsg, a benchmark for evaluating implicit message understanding in short, internet-native video clips. VidMsg contains 400 YouTube-derived clips across 9 practical topic areas and 52 fine-grained target messages, covering domains such as career and finance, education, health and well-being, culture, safety, sustainability, and lifestyle. VidMsg is constructed through a message-first pipeline: an LLM first translates target messages into indirect search scenarios, which are used to retrieve candidate clips. Human annotators then retain clips that convey the intended message without being overly explicit. VidMsg is designed primarily for bidirectional message-clip retrieval for scalable applications such as video search and recommendation, where systems must capture holistic video understanding. In addition to retrieval, VidMsg includes a diagnostic multiple-choice QA benchmark, where models select the intended message of a clip from semantically related alternatives. Experiments with contemporary video-language and retrieval models show that strong models often fail on VidMsg, because the task requires pragmatic inference, integration of contextual cues, and discrimination among semantically close messages. We also introduce VidVec-Msg, a baseline method that improves message-oriented retrieval while leaving substantial headroom for future work.