Actually, forget modifying initialize and only modify refresh.
A new instance of Window_Message is only created at the start of Scene_Map or Scene_Battle, thus your initialize method will only be called ONCE per scene. It won't be until you, say, open the menu then close it to see your font change. Moving your code to refresh will help as this method is called every time you are displaying the message window.
Also, you don't need to do '002' for character IDs, or anything in the database for that matter. Just a simiple '2' is enough as the prior zeroes are ignored.