Most radio messages are just for atmosphere. If you want you can head to the mentioned area, but most likely you won't run into anything aside from ships randomly passing through.
Also, any messages that mention your particular U-boat number are just coincidental. (If that's the right word...) They're just the historical radio messages sent to that submarine, and included ingame.
Some events mentioned, however, especially well-known events (Invasion of Norway, D-Day, etc), are be scripted ingame, and you can head that way and check things out if you recieve messages informing you of them.
__________________
|