The "Send this message for:" (a.k.a. "Custom Messages for Repeat Buyers") option can be found in the Advanced Filters section of the "Filters" box when editing a message.
The default mode for this option is set to send the same message to every buyer, on every purchase. However, you may wish to target or exclude buyers who have purchased from your store one, two, three, or four or more times.
For example, if you want to create a separate message that only goes out to first time buyers you would first select check the box for "Buyer's first purchase" (and leave the others unchecked). This message would only send to buyers if this is their first time purchasing from your store.
If you want to create a message that only goes out to all repeat buyers (meaning excluding a first-time buyer), then you would check the boxes for the applicable purchases (second, third, fourth and subsequent purchases) and leave the first box unchecked. This message would only go to buyers who have purchased from your store more than once.