Hello Hirama666
The Class Diary is intended for Teacher to Students / Parents semi-public communication (with a Comments option in the Premium version of the module).
Think of it being more like a blog or Faceb00k wall.
Whereas the Messaging module is intended for private communication between teachers and students / parents or admin and students / parents (with the possibility to Answer a particular message).
You can know more about those 2 modules at https://www.rosariosis.org/modules/class-diary/ and https://www.rosariosis.org/modules/messaging/