This is frustrating. I don't know why I left her to be the last character to unlock (with the excpetion of Orochi of course).. I can't seem to find and kill all 12 messengers before they escape. Even though it is a small map, it is still hard to keep track.
Base captains help. Also, you can keep track of messengers as they appear on the map like regular officers. Bear in mind that at the start, Lu Meng WILL mention that a messenger has got out. This is NORMAL.
I used good horseback attackers such as Nobunaga or Ma Chao. Setting it on easy allows you to kill officers with only a few hits. The base captains will hold off the messengers long enough for you to reach them. Officers spawn regularly so you're going to have to babysit the captains a little bit.
Stay near the center, best if you're on the intersection where the messengers split. I used Hideyoshi Toyotomi (campaign cleared so I can use him) because of his normal range. And defeating base leaders also help, but sometimes they let the messenger pass. :(