When my SQL Server agent starts, I always came across these 2 errors:
-  SQLServer Error: 2812, Could not find stored procedure ‘msdb.dbo.xp_sqlagent_notify’. [SQLSTATE 42000] (DisableAgentXPs)
-  The Messenger service has not been started – NetSend notifications will not be sent
First one is the error and the second one is the warning…
Check the following. As per the following thread it is bug and fixed in SP2.
Agent can send the alert to an operator through NET SEND, which uses the Messenger service.
If the service isn’t running/started, then Agent will write this message.
You can change the messenger service to start automatically if it is configured start manually.