How to use messageManager to show an error after redirect

You need to use object injection method on ur module action class to inject the message manager object into it, i provided an example of what u can do. Hope it helps

class Example
{
    protected $_messageManager;

    public function __construct(
        \Magento\Framework\Message\ManagerInterface $messageManager
    ) {
        $this->_messageManager = $messageManager;
    }

    public function method( ) {
        ..
        $message = '...';
        $this->_messageManager->addError($message);
        ..
    }
}

Not sure if this is what you are looking for, but I'm giving it a shot.
You can retrieve the messages like this:

$messages = $this->messageManager->getMessages(true);  

where messageManager is an instance of \Magento\Framework\Message\ManagerInterface.

In the core, this is used for ajax calls in order to return the error messages in the json response like this (\Magento\Catalog\Controller\Adminhtml\Category\Move):

$block = $this->layoutFactory->create()->getMessagesBlock();
...
$block->setMessages($this->messageManager->getMessages(true));
$resultJson = $this->resultJsonFactory->create();

return $resultJson->setData([
    'messages' => $block->getGroupedHtml(),
    'error' => $error
]);

For actions with output you shouldn't do anything (I think). The default.xml layout file from the Magento_Theme module already contains this block <block class="Magento\Framework\View\Element\Messages" name="messages" as="messages" template="Magento_Theme::messages.phtml"/> that should handle the messages.

[Side note]:
Don't use $this->_objectManager->get('Magento\Framework\Escaper')->escapeHtml($message). Inject in your constructor an instance of Magento\Framework\Escaper and use that.

you can also find the message manager accessible through $context that is injected into actions constructors:

class yourAction extends \Magento\Framework\App\Action\Action
{
    /** var ... */
    protected $_messageManager;

    public function __construct(Context $context)
    {
        $this->_messageManager = $context->getMessageManager();
        parent::__construct($context);
    }

Next just use as mentioned in answers above

$this->_messageManager->addError($message);

Hope it helps