Defined in https://gerrit.wikimedia.org/g/mediawiki/extensions/Wikibase/+/HEAD/lib/i18n/en.json#46 but https://www.wikidata.org/wiki/MediaWiki:Wikibase-sitelinks-wikipedia inherits no content in any language I've tried.
https://www.wikidata.org/wiki/MediaWiki:Wikibase-sitelinks-wikibooks works fine…
(Also these Wikimedia-specific messages should probably be in WikimediaMessages or at least the Wikidata.org extension and not the generic Wikibase extension, but that's by the by.)
The messages don't work via the normal MediaWiki interface urls, such as https://www.wikidata.org/wiki/MediaWiki:Wikibase-sitelinks-wikipedia and https://www.wikidata.org/wiki/MediaWiki:Wikibase-sitelinks-wikipedia. This rules out ResourceLoader and its MessageBlobStore as a related factor, as these build on top of MW.