question

This happens because in parsing the actual data update call, the Key is read as a literal. If you look in the basic Cloud Script sample (added to all new titles in the service), you'll see that UpdateInternalData is called like this:

var updateUserDataResult = server.UpdateUserInternalData({
  PlayFabId: currentPlayerId,
  Data: {
    lastLevelCompleted: level
  }
});

In that call, lastLevelCompleted isn't a string previously defined, it is the Key being written. To write to a Shared Group Data with the currentPlayerId as the Key (as in your example), you would need to generate the data section first using your dynamic keys then pass it in, like this:

handlers.messageToPlayer = function (args) {
  var messageGroupId = args.toPlayerId + "_messages";
  var dataPayload = {};
  var keyString = currentPlayerId;
  dataPayload[keyString] = args.messageText;

  server.UpdateSharedGroupData(
    {
      "SharedGroupId": messageGroupId, "Data" : dataPayload
    }
  );
}