Since the script is executing as LocalSystem, it cannot interact with a logged-on user’s desktop to display the message.
You’ll need to use the ‘override’ settings to execute the PowerShell in the context of a logged-on user to display the message to them; which also means you’ll have to copy the PowerShell script to a path the user can read (__BESData is only readable to Administrators).
See the tip at Tip - Action Override User settings and please advise whether that helps.