How is Dark Messiah connected to Heroes of Might and Magic?

Not quite... He simply lost to them, and he was already in that prison before. The Skull of Shadows is an artifact with which the Seventh Dragon imprisoned Kha-Beleth and the other demons in the prison of Shio that he created. This Skull of Shadows lies in a temple, from which Sareth stole it. Only the Messiah can permanently lock away the Overlord or release him forever, which, of course, will lead to the end of the world.