Где отображается сообщение аргумента?

Необходимо установить formatzstyle завершения:

zstyle ':completion:*' format 'Completing %d'

Тогда:

$ program -b Tab
Completing my message
x  y

Подробнее см. info zsh format.

Устанавливается с помощью compinstall, если вы следуете этому пункту меню:

3.  Styles for changing the way completions are displayed and inserted.
[...]
1.  Change appearance of completion lists:  allows descriptions of
    completions to appear and sorting of different types of completions.
[...]
1.  Print a message above completion lists describing what is being
    completed.
[...]
You can set a string which is displayed on a line above the list of matches
for completions.  A `%d' in this string will be replaced by a brief
description of the type of completion.  For example, if you set the
string to `Completing %d', and type ^D to show a list of files, the line
`Completing files' will appear above that list.  Enter an empty line to
turn this feature off.  If you enter something which doesn't include `%d',
then `%d' will be appended.  Quotation will be added automatically.

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