Unless you want a message receipt, you don't have to use that feature. (I'm not sure what good it does anyway, either they read it or not)

If you want to skip this feature, just hit "cancel" when it asks you to "confirm message". If you hit "ok" then the recipient will be asked to do an extra step before he can close out the message.

Just a little tip in case you're like me and like to skip some of the things we are asked to do when we're online.