The "messenger of the covenant" is Jesus Christ. He is the last Elias to come with restorative power (see JST Jn 1:20-28). He is also the messenger of the temple covenants. Accordingly, his second advent will be heralded by a sudden appearance at the temple.
Joseph Smith
"The spirit of Elias is first, Ellijah second, and Messiah last. Elias is a forerunner to prepare the way, and the spirit and power of Elijah is to come after, holding the keys of power, building the Temple to the capstone, placing the seals of the Melchizedek Priesthood upon the house of Israel and making all things ready; then Messiah comes to His Temple, which is last of all." (Teachings, p. 340)
Matthias F. Cowley
"When He comes in verification of Malachi's prophecy, He will come suddenly and in power and great glory. He will find a temple to come to. To do this, there must be a people called of God, instructed by revelation…in order to know where, when and how to erect, in keeping with divine approval, such a sacred edifice…Nothing short of a new Gospel dispensation, ushered in and perpetuated by direct revelation from the Lord, can fulfill the provisions of Malachi's prediction." (Cowley's Talks on Doctrine, p. 29)
Jeffrey R. Holland
"Christ, who is the great 'messenger of the covenant,' did come to the first temple in this dispensation, in Kirtland, Ohio, on April 3, 1836. He has, of course, come to other temples and will yet do so—particularly in Jerusalem and Jackson County, Missouri—as part of the culmination of his majestic second coming." (Christ And The New Covenant, p. 294)