In XE, messages are not a message field, but a dockable window and, as such, do not automatically disappear.
Workaround: Close the "Messages" window and save the desktop (click on the button next to the "Classics" shot in the toolbar). After each recompilation, you can re-select the saved desktop by clicking on the desktop with the name of the desktop (Classic Undocked) and pressing Enter on the keyboard.
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