No, no, in these systems Alice and Bob both know a secret. Mallory doesn't know the secret, so, Mallory can't forge such a message.

However, Bob can't prove to the world "Alice sent me this message saying she hates cats!" because everybody knows Bob knows the same secret as Alice, so, that message could just as easily be made by Bob. Bob knows he didn't make it, and he knows the only other person who could was Alice, so he knows he's right - but Alice's cat hatred cannot be proved to others who don't just believe what Bob tells them about Alice.