I have a question regarding the integration of SigFox with Cumulocity, I already created connectivity between platforms, but when I create Device database, I don't know how to enter Message ID, this ID is created by agent-sigfox or it is necessary to create a protocol with id to read in Device Database?
Message ID is the way Cumulocity distinguishes different messages from your SigFox connected device. You can either use FPort or parts of the payload for this.
You can find the documentation here: http://cumulocity.com/guides/users-guide/optional-services/#sigfox The section 'Creating device protocols' contains the details.