I have the latest version 4.2.1.119 on my 8703 for verizon but dont have a bb messenger icon. I dont have the phone activated yet so could that be the reason or does it just not support it with the current os?
Go into options>advanced options>applications and check if you have BBM on the phone. If not you can always just download it from the BB website or even easier, get it through the app loader on desktop manager.