If you want your Facebook Fans to be able to message you directly on your Page, definitely enable the Messages feature -- but make sure you have the bandwidth to monitor your Facebook Page inbox.
We recommend making it as easy as possible for your Fans to reach out to you by enabling Messages -- but only if you have the time dedicated to do so. If you can't dedicate resources to checking your Messages inbox, make it very clear in your "About" snippet the most direct way to get in touch with you ... and then, of course, actually respond to those inquiries from your Fans.