Yes, it means "... a message on Wednesday ..." The message was delivered on Wednesday. Wednesday was the day upon which the message was delivered. As you study English you'll notice that native speakers omit words (leave words out of a sentence) A LOT. Really a lot. In this case the word "on" is omitted. Omitting words makes the language that bit harder to understand for folks who don't use it all day every day. But native speakers tend to just get used to what's meant. Most of the time native comprehension comes from recognizing patterns that convey some meaning to the listener; but for actual language learners (who really are looking at the words and the grammar), it's not so easy. Hope that helps!

Wednesday here is acting as an adverb of time, telling when the action took place. In this case, it means that the CEO delivered his message to the students on Wednesday. For more information on adverbs of time, you can check out this website [http://www.gingersoftware.com/content/grammar-rules/adverb/adverbs-time/].