The messenger warns her that danger is coming and she should leave.
At the beginning of the scene, Ross tells Lady Macduff that trouble is brewing in the kingdom now that Macbeth is king.
But cruel are the times, when we are traitors
And do not know ourselves; when we hold rumor
From what we fear, yet know not what we fear ….(Act 3, Scene 2)
This puts a sense of dark foreboding on the scene, which continues with the conversation between Lady Macduff and her son. She is upset that he was left her to go to Malcolm, and she feels abandoned.
When the messenger enters, he gives her a more specific warning that she is in imminent danger.
Bless you, fair dame! I am not to you known,
Though, in your state of honor I am perfect.
I doubt some danger does approach you nearly. ….(Act 3, Scene 2)
He tells her to take his advice and leave, but she does not have time. The murderers arrive, and before long they kill her and her son. They also kill the rest of the household.
Although Banquo’s murder could have been seen as removal of a threat, the slaying of the Macduff household is vengeful and senseless. All it does is goad Macduff into action, and ultimately is the beginning of Macbeth’s downfall.