What is welcome message in Facebook and how do I set one?

This is the message people receive when they interact with your bot for the first time i.e When user clicks the 'Get Started' button.

You can set welcome message in your bot code itself.

when a user click on getstarted button you receive a 'startchatting' event, based on this event you can trigger a dynamic message.

You can trigger 3 types of welcome message:

1. Plan text message:

Sample code:

function EventHandler(context, event) {

             context.sendResponse(""YOU PLAN TEXT MESSAGE"");   

           }

    2.Structure message:

https://www.gupshup.io/developer/docs/bot-platform/guide/structured-messages"