Humanity's holy books have things that we are too stupid to figure out ourselves, like "don't touch dead bodies or you'll get yourself and others sick", and "love thy neighbor". So I imagine equinity has its own prophets and messengers to tell the ponies such obvious things as, "don't venture into the Everfree Forest alone without weapons or else its monsters will kill you". So the wise messenger role is almost certainly there (think about how stupid ponies are, they wouldn't have been able to survive without the cheat code of divine guidance), but the messiah role? No clue how that would work.

A fun implication of this is that Earth's holy books would be mostly but not entirely useless in Equestria, and vice versa.