UnityRepro.cs

public class EndpointConfig : IConfigureThisEndpoint
{
    public void Customize(BusConfiguration busConfiguration)
    {
        var container = new UnityContainer();

        busConfiguration.UseTransport<MsmqTransport>();
        busConfiguration.UseSerialization<JsonSerializer>();
        busConfiguration.EnableInstallers();
        busConfiguration.UsePersistence<InMemoryPersistence>();

        busConfiguration.UseContainer<UnityBuilder>(
            customizations: customizations =>
            {
                customizations.UseExistingContainer(container);
            });
    }
}

public class Sender : IWantToRunWhenBusStartsAndStops
{
    public IBus Bus { get; set; }

    public void Start()
    {
        Bus.SendLocal(new MyMessage());
        Bus.SendLocal(new MyMessage());
        Bus.SendLocal(new MyMessage());
    }

    public void Stop()
    {
    }
}

public class MyMessage : IMessage
{
}

public class MyMessageHandler : IHandleMessages<MyMessage>
{
    public void Handle(MyMessage message)
    {
        Console.WriteLine("Got message");
    }
}