Assign variable in Java while-loop conditional?

While acceptable in PHP, I guess (I don't code in PHP), it is considered extremely bad form to do an assignment within a conditional in Java. (This is because it is error prone and very hard to spot, the difference being between = and == in the middle of a lot of code. This was a deliberate choice based on years of experience with C and C++.)

As it is, I can't quite follow your code. You say "returnMessage has 2 booleans and a String" but the test, as I understand it in PHP, is myObject->myMethod()->finished != null and returned gets set to the value of finished, but then you go and test $returned -> finished which is the same as myObject->myMethod()->finished->finished. Sorry if I misunderstand PHP syntax.

The general recommendation in Java would be more along the lines of:

ReturnMessage returned = myObject.myMethod().getFinished();
while (returned != null) { 

    ...

    returned = myObject.myMethod().getFinished(); // or did you mean myObject.myMethod();   
}

if (!returned.finished) { // or, better: if (!returned.isFinished())
    ...
}

If I misunderstood the PHP, let me know and I'll fix the Java code to match.

A while loop checks a conditional. Here's another example that can come handy:

public class test {
    public static void main(String[] args) {
        String line;
        while((line = readFromFile())!=null){
//do something with var 'line'
            System.out.println(line);
            break;
        }
    }

    static String readFromFile(){
       return "test string";
    }
}

We need to see more of your code, but guessing a little I think something like this would work:

ReturnMessage returned;
while (!(returned = myObject.myMethod()).finished) {

}
if (!returned.finished) {

}