When using the built-in repositories, the newest Flmsg on Ubuntu was 2.0..something. I needed at least 4.0.6 so I had to build it from the source. I followed the instructions included in the README.txt file with a couple of additions.
1. sudo apt-get install fltk1.3 - I needed the fast light kit 1.3. Some was already installed, but additional files were needed.
2. sudo apt-get install libsamplerate0 - But this was already the newest version, so I was good.
After the make and sudo make install, Flmsg worked!