As Nephi begins to discuss the doctrine of the Messiah, he begins with Jesus’s baptism. The wording is only slightly confusing. It might be read that baptism takes away the sins of the world, but the meaning is that they are taken away because of the Messiah, because of the Lamb of God. Nephi’s message for his people is that they should expect a Messiah who will atone. After that atonement, Nephi explains the concept of baptism as it fits into that atonement. As a Jew, Nephi understood immersion as a means of removing uncleanness, but the shift to baptism moves from uncleanness to removal of sin.
The idea that baptism is associated with the washing away of sin complicates the idea that the Messiah himself would be baptized. If the rite is for the removal of sin, and the Messiah had not sin, then why should the Messiah be baptized?