According to documentation, The apex:pageMessages is supported in Lightning with lightningstylesheet=true without any additional style.
I have checked and verified it using below code:-
<apex:page standardController="Opportunity" recordSetVar="opportunities"
tabStyle="Opportunity" sidebar="false" lightningStylesheets="true">
<p>Enter an alphabetic character for the "Close Date,"
then click Save to see what happens.</p>
<apex:form >
<apex:pageBlock >
<apex:pageMessages />
<apex:pageBlockButtons >
<apex:commandButton value="Save" action="{!save}"/>
</apex:pageBlockButtons>
<apex:pageBlockTable value="{!opportunities}" var="opp">
<apex:column value="{!opp.name}"/>
<apex:column headerValue="Close Date">
<apex:inputField value="{!opp.closeDate}"/>
</apex:column>
</apex:pageBlockTable>
</apex:pageBlock>
</apex:form>
</apex:page>