Outside of the mailbox section, you also have the ability to access the applicant messages within each application.
To do so, all you have to do is go to the form that your applicant is on, find your applicant using the search bar, then:
Click on the messages icon on the applicants' tile to go straight to the messages tab
Or Click on view, then click on the messages tab.
From here you can view all the messages that have been sent to the applicant. And you can also compose a new message that will be sent straight to the applicant by selecting the "New" button.