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No, messages and services may lie in the same package as other code, though it is usually a good practice to put them into separate packages, to make the definitions reusable without the other code.
See the tutorial here, where messages and code are mixed: http://www.ros.org/wiki/ROS/Tutorials/WritingPublisherSubscriber%28c%2B%2B%29
So you may have made a typo somewhere in your package or message names instead.