My conclusion was obscuring message contents isn't really too important, but certainly authenticating them is, and preventing replay attacks is where it gets hard. (So a challenge/response system would be needed in some cases).

This becomes nasty at the device configuration stage though, since you need to distribute/share keys somewhere. There simply are not protocols around that deal with buying a device from a store, taking it home and magically making it work, but that is the point it needs to get to. The industry seems to be moving towards "solving" that through embedding cellular modems in everything and getting the stuff to phone home.

The actual binary format is beside the point really, but it does need to be as close to self describing as possible.