Facebook is an undeniable juggernaut in the social media world, and it's not hard to see why. Their interface is simple to use, the platform lends itself to endless scrolling to see more funny videos, pictures of your friends and the endless debates and dialogues that are taking place there. Not only that, but the new Facebook Messenger serves as a simple way to contact people, send them photos, purchase second hand or used items, and even send money, a la PayPal. Facebook has truly diversified -- that is, they have made themselves available for more services, and thus, give you more reason to stick around on their platform.
That being said, Facebook is a publicly traded company and must meet the financial expectations of shareholders, so these updates and changes are done, ultimately, for money. The way Facebook generates most of its revenue is through advertisements, but it also doubles as a data broker. With over a billion users, many of whom use the platform daily, Facebook has created an ecosystem that retains users who willingly give up copious amounts of personal information about themselves in return for the use of Facebook's services. Facebook then turns around and uses this data to personalize your ads, making sure that they are related to things that you are interested in, making it more likely that you'll buy something from an advertiser.
That's just how the internet works, and it isn't necessarily a bad thing. However, users should be aware that Facebook likely has access to (and makes use of) everything that you send through Facebook Messenger. That likely means that anything that you send, be it links, photos, text or anything else is saved in a Facebook datacenter somewhere. Keep that in mind any time you use Facebook's services, or any online free service.
If you aren't paying cash for a free online service, you're likely paying in another, much less visible way.
For more information on how Facebook Messenger downloads links sent through the service, check out this article from Forbes HERE.