The message admin tools allow message relocation to another chat room. There also is an option for creating a new room to house the messages.
This "new room" doesn't get a parent site, which associates it with SE.com (Like the Sandbox/Assembly/TL/Aww/etc).
Now, these rooms cannot have their parent site changed, which I suppose is a separate feature-request:
So basically these created rooms get stuck without a parent site.
Fix please? The room ought to be associated with the parent site of the originating chat room (or allow us to choose, either way, it can be changed later).