I tried two methods of turning it on: 1) on messages I wanted to pause when they popped, I right-clicked and selected the bottom-most option that's supposed to cause a pause when they appear, and 2) the options section on setting messaging. I can see that I've got the options set properly (as I want them, anyway). But the only thing that pauses the game is me clicking in the upper right corner of the screen.

Am I doing something wrong? I want to crank up the speed, but I need to be able to take action immediately when bad things show up.

The message settings in these games are incredibly finicky, but setting an event to display and pause should still work. There's a small trick, in that the auto-pause is different from manual pause (and the Game Paused text has a different shade to it). A manual pause can only be resumed by the user, while the game will immediately resume once you dismiss an auto-pause-causing message. Additionally, when several auto-pause events trigger together, dismissing one unpauses the game for all. Thus it's actually useful, when an event auto-pauses, to do an extra manual pause and deal with things at your leisure.

And you can't rebind the Pause key, either.

As I said, finicky :P