As far as I can see 'connect' *is* the constructor.
Whenever you see a construct that looks like Module->subroutine you should think "Class Method". The subroutine will be called with the Class name as the 1st parameter, and as expected it's used in a bless command.
Now that $conn is an object, all subroutines in it's class' (Msg) namespace and in the namespaces listed in Msg::ISA, can now be used as methods. Any such method will receive the blessed reference $conn implicitly as it's 1st parameter.