Message server not connected

Message Server Not Connected is not an SQL Express problem. Message Server is a program that SambaPOS uses to synchronize multiple terminals with real time updates.
Look here for Message Server setup - Auto Refresh Widgets/Button Colors

As far as converting CE to SQL, you will to change your Data Connection String in Manage->Settings->Local Settings to

data source=localhost\SAMBAPOS3; User Id=sa; Password=sambapos; Database=SAMBADATA2;

Then save, exit and restart SambaPOS.
Assuming you have followed the link you mentioned EXACTLY.