It is normal that you have to exit out of each message
before the XM will continue. This is just a normal function of the accessory.
It would be nice in the future if a menu item would allow you to select to
display the messages for only a few seconds or to opt not to display them at all.
It sounds to me that maybe your connections (power at the back of the unit),
or XM antenna (however you have that hooked in) may be loose.
I think the check antenna message is displayed when the contact is broken
between your antenna and system.
Also, is your XM module flat against the sky with nothing interfering with it?
Your battery may also be bad. It doesn't matter if it's new or you think it's good.
In addition to checking your battery voltage, load test your battery.
Battery voltage only shows that the battery has power, but the battery may
not be able to sustain the draw of your unit and maintain at least 10.5 volts.
I think 9 out of 10 problems are the battery and/or connections.
Good luck.