It works for messages written *to* you. Like this one. When you click it, it should change to "Unkeep" and if you later go to your mailbox, you'll see the message stored in one of the 3 categories in there.
It might be easy to miss. It's just to the right of "Respond" above and below the message.
If you're wanting to keep a public message that's not addressed to you, you'll have to use the old trick of PM'ing yourself the link to it.
When doing so, keep in mind the shorthand you can use. #msg followed by a dash and the message number for iHub messages, or #reply followed by a dash and the message number for SI messages.
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