If the problem is the default message app not offering this then just try a different message app.
That said, I don't have MM, so can't be sure that the OS hasn't removed the feature. But it's worth a try.
(I just tried it in Textra, and found that the message then appeared as locked to my other message apps as well. This is why I wonder about OS support, since it's clearly not just internal to the app but part of the message service/database).