SetEnv msg_2 "%{ENV:msg_1} Second message"
You will need to use mod_rewrite (or SetEnvIf - See @anubhava's answer) instead in order to set an environment variable using the value of another env var. Unfortunately, SetEnv (mod_env) and SetEnvIf (mod_setenvif) do not expand the value of env vars using the syntax %{ENV:varname} in the resulting expression, it is simply seen as literal text.
However, if you use mod_rewrite then you can't use SetEnv to set your initial env var since it is processed too late. You will need to use either SetEnvIf or mod_rewrite to set the initial env var.
For example:
RewriteEngine on
SetEnvIf ^ ^ "msg_1=First message"
RewriteRule ^ - "[E=msg_2:%{ENV:msg_1} Second message]"
Note the strategically placed double quotes because the value argument contains spaces.
SetEnvIf - the entire name=value pair in the SetEnvIf directive must be surrounded in double quotes (not the value).
RewriteRule - the entire flags argument needs to be surrounded in double quotes (not the value).
This does allow you a bit more flexibility than SetEnvIf, since you can reference any number of env vars in the value portion if you need to.