A message loop is a small piece of code that exists in any native Windows program. It roughly looks like this:
MSG msg;
while (GetMessage(&msg, NULL, 0, 0))
{
TranslateMessage(&msg);
DispatchMessage(&msg);
}
The GetMessage() Win32 API retrieves a message from Windows. Your program typically spends 99.9% of its time there, waiting for Windows to tell it something interesting happened. TranslateMessage() is a helper function that translates keyboard messages. DispatchMessage() ensures that the window procedure is called with the message.
Every GUI enabled .NET program has a message loop, it is started by Application.Run().
The relevance of a message loop to Office is related to COM. Office programs are COM-enabled programs, that's how the Microsoft.Office.Interop classes work. COM takes care of threading on behalf of a COM coclass, it ensures that calls made on a COM interface are always made from the correct thread. Most COM classes have a registry key in the registry that declares their ThreadingModel, by far the most common ones (including Office) use "Apartment". Which means that the only safe way to call an interface method is by making the call from the same thread that created the class object. Or to put it another way: by far most COM classes are not thread-safe.
Every COM enabled thread belongs to a COM apartment. There are two kinds, Single Threaded Apartments (STA) and a Multi Thread Apartment (MTA). An apartment threaded COM class must be created on an STA thread. You can see this back in .NET programs, the entry point of the UI thread of a Windows Forms or WPF program has the [STAThread] attribute. The apartment model for other threads is set by the Thread.SetApartmentState() method.
Large parts of Windows plumbing won't work correctly if the UI thread is not STA. Notably Drag+Drop, the clipboard, Windows dialogs like OpenFileDialog, controls like WebBrowser, UI Automation apps like screen readers. And many COM servers, like Office.
A hard requirement for an STA thread is that it should never block and must pump a message loop. The message loop is important because that's what COM uses to marshal an interface method call from one thread to another. Although .NET makes marshaling calls easy (Control.BeginInvoke or Dispatcher.BeginInvoke for example), it is actually a very tricky thing to do. The thread that executes the call must be in a well-known state. You can't just arbitrarily interrupt a thread and force it to make a method call, that would cause horrible re-entrancy problems. A thread should be "idle", not busy executing any code that is mutating the state of the program.
Perhaps you can see where that leads: yes, when a program is executing the message loop, it is idle. The actual marshaling takes place through a hidden window that COM creates, it uses PostMessage to have the window procedure of that window execute code. On the STA thread. The message loop ensures that this code runs.
