You should add Send Message events in automatic role lanes. You can add Send Message events in user-defined roles but this does not add any information to the process. The engine runs Send Message events without the user's intervention.
You must connect the Send Message event to the process flow using an inbound transition. You may add multiple inbound and outbound transitions if necessary.
You can define an Argument Mapping for the Send Message event to send information to the process it notifies.