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I'd think you would be more worried about message serialization than message persistence. The Programmer's Guide handles both those topics, but if serialization is an issue, you can look into the InVM transport, which would cut back on serialization between services.
Many thanks for your crisp and very useful response. What are the dis-advantages of using inVM transport (apart from it being non-persistent, hence lacking the advantage of high availability)?
Many thanks in advance..