I'm not a native speaker, but the forms are just multiple ways of using conveying indirect statements. It feels much more like a book or news report stating facts when I see the 다는/라는 ... forms and more colloquial/an opinion when I see ~다고/라고. Also, the whole form of ~다는 ... is really ~다고 하는 ... I think that if the context was clear to the listener in this context, the whole ~다고 방금 문자 보냈어요 part of the sentence could even be shorted to ~대(요). It would probably be the result if someone had been wondering where 혜진 is. Also, I think that in your second sentence, you'd need to move the word 방금 because in that location, it seems to be describing the time change rather than the message was just sent. Hope this is kinda of helpful :p someone else could probably give you a better answer