Yes and no. Currently there is no way to "set" the message in your preferences. But if you type a message at the beginning of your session, the application will remember that message for the entire session.
I will not accept any answers where new application development is not needed! LOL
In the same train of thought of the challenge box: How about we actually be able to see the lvl of the person that challenged you? So ya know if you really want to bother accepting or not.