To send a group message using dialogue, first you need to have set up the group of students. If you have not already set up the group, refer to the Quick Guide on Groups and Groupings.
When you set up the dialogue activity, under the Common Module Settings section, there is the option to select Separate Groups.
As dialogue is a way for enabling one-on-one communication each member of the group will receive individual copies (emails) of the dialogue message so in effect you are creating a separate dialogue between you and each member of the group. Following, if a student replies to your message, only you will be able to see it. If you want all students to see the replies then it is better to set up a forum that is accessible by a group. Again, follow the steps to create a separate group and assign required Common Module Settings.