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When messages are published i.e. fed into a queue, where are these messages stored ?

For a typical PC: in RAM.

Does it use the physical memory on the disc ?

No (unless you consider a situation where your OS decides to swap out pages of your virtual memory to disk for some reason and those pages happen to be where some messages are stored).

Is there also some memory sharing i.e. is the memory space split between Master, publishers and subscribers ?

No. Not by default.

And definitely not between the master and publishers/subscribers.

Between pub-sub pairs: maybe, depends on the transport you have configured.

If yes, then where are the messages stored ? in Master's memory ?

Never.

The master is never involved in message exchange, it really only functions as a lookup service.