This issue occurs when you right-click the selected text in the first instant message.
Note Several minutes later after this issue occurs, the Copy and the Select All menu items may be enabled if you receive the "We saved this conversation.." message.
Workaround
To work around this issue, use the Ctrl+C or Ctrl+A shortcut keys to copy or select the first message respectively. Or, you can wait until the second instant message arrives, and then the Copy and the Select All menu items will be enabled for the first instant message.