Hola Don

Your understanding of agreement is correct, but here we have something called "sustantivos en aposición" which is a bit different. When we say "mensajes clave" we have two nouns one after the other, where agreement is not considered. Other examples are for example: los carriles bici (cycle lanes) or ciudades dormitorio (commuter towns).

Having said that, some of these do accept the plural in the second noun as they can actually be considered an adjective as well, depending on which one you're using. In the case of "clave" you can actually go either way "mensajes claves" or "mensajes clave". In this specific exercise we've added a hint instructing to use the word "clave" for "key" but the option using the plural would also be correct. 

Here is more in detail information about these cases. They do mention the word "clave". Have a look here. 

I hope it helps.

Saludos