A new feature in HTMX 4 is designed to send multiple partial updates in a single response. We could use that feature in Drupal to return status messages with HTMX responses and restore individual message styling to our usual theme process.
How Drupal renders content for different contexts with a close examination of how this is implemented for content intended for consumption by the HTMX library.
HTMX is in the final stages of a full version upgrade. We are working on refactoring the integration between Drupal and HTMX and that is nearly ready. HTMX 4 uses a new architecture and has added some great new features.