Simple text messages wouldn’t typically be deemed copyright-worthy, but if you write a poem or take a good photograph etc. and send that, then it absolutely would be covered by copyright.

However, Microsoft doesn’t actively publish your copyrighted material. If their improper storage results in your copyrighted work being leaked, that might be a lawsuit (like you might be successfully sued for putting your backup of a movie onto an insecure server on the internet), but now that Recall is opt-in and all, it would be a difficult lawsuit.