Messias

First and foremost, Messias is the hellenized form of Hebrew מָשִׁיחַ (mashiyach) meaning "anointed" (see Messiah in the main database). It was written as Μεσσίας in Ancient Greek:

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https://en.wiktionary.org/wiki/%CE%9C%CE%B5%CF%83%CF%83%CE%AF%CE%B1%CF%82#Ancient_Greek (in English)

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The Romans transcribed it into Latin as Messias and subsequently adopted it:

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https://en.wiktionary.org/wiki/Messias#Latin (in English)

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It is through Latin and Roman Catholicism that Messias eventually found its way into Portuguese and most other languages in Europe.

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However, unlike Brazil, most European countries do not use Messias as a given name. In the ones where it does in fact occur as a given name, it is extremely rare. Take the Netherlands, for example. In 2014, there were less than 5 males in the whole country that had Messias as a first name. Only a grand total of 5 males had it as a middle name:

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https://www.meertens.knaw.nl/nvb/naam/is/Messias (in Dutch)

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This is because Messias is too strongly connected to Jesus and Christianity, but also because it is a regular vocabulary word in Dutch. The same should apply to most other European countries as well.