Question

It seems that these two have a similar purpose. It would be great to see some examples when to use one over the other, pros and cons, as well as point out what are the key differences.

Answer 1

The major difference between their two is their focus. Message
Handlers are applied to all HTTP requests. They perform the function
of an HTTP intermediary. Filters apply only to requests that are
dispatched to the particular controller/action where the filter is
applied.

You should use MessageHandlers when you want the behaviour to be
applied to the vast majority of requests. Filters should be used when
they are only applicable to certain resources.