The form that is displayed in the last checkout step and which contains the button to finally submit the order ist meant only to provide the submit button and possibly some checkboxes to confirm something in order to be able to actually submit the order. This form is not supposed to collect data to be stored in the order and there is currently no way to achieve this. The customer data form is the form which collects data to be stored in the order and you should place the message field there.
Providing the option to collect and store data in the way you described is on our to-do list for future versions of Merconis.
Your MERCONIS Support Team