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for i in *.xml
do
awk 'BEGIN {FS="[ <]"} /TimeStamp=/ {f=FILENAME; sub(".*Msg","",f); f=$2 f; print "mv " FILENAME " " f; exit}' "$i"
done

Or

#! /usr/bin/awk -f
# script.awk

BEGIN...

Try this but check the output before you pipe the output to sh (colored part):
for i in *.xml
do
awk -F"[ <]" 'BEGIN{f=FILENAME; sub(".*Msg","",f)}
/TimeStamp=/ {f=$2 f; print "mv " FILENAME...

If you are sure you have only files you want to rename;

ls * | awk -F ".xml" '{print "mv "$0,$1$2".xml"}' | sh
Please check first without the RED, if every thing seems file, go with that.

...

Something like this?
awk -F"[<>]" 'NR==2{print $2}' file

or maybe this what you mean:
awk '/<TestXMLMessage>/{f=1};f;/<\/TestXMLMessage>/{f=0}' file