For years, marketers have pushed messages out to their customers and then sat back and hoped for a response. This form of “conversation” is incredibly limiting because it’s one-way — customers can’t tell you why they ignored an ad or responded to a call to action. That’s all changed with the arrival of Facebook’s click-to-Messenger ads.

These ads send users into a Messenger conversation with your business with a call to action that reads, “Send Message.” They are...