I just tried doing that, and it didn't display the message. But I HAVE seen that message before, so now I'm confused

You could make a character from scratch. All a character needs is a CharacterMotor and FPSInput script to run around. Then you can parent a camera and add MouseLook stuff. There's a also mini-tutorial in the MouseLook script (it's for first person, but it may still help).
If you build something, you can right click in your Resources and Create -> Prefab, then drag whatever you put together into that prefab for reuse.