To set custom messages for Magento 2 RMA (Return Merchandise Authorization), you need to log in to the admin panel of your Magento 2 site. Then, go to Stores > Configuration > Sales > RMA. Here, you can find settings for custom messages. You can add custom requests, status updates, and custom messages. These messages will be used to notify customers during the RMA process. They provide clear information and a better experience for customers.