Well, short answer is: You will see orange messages whenever the game developers want you to.
I would classify orange messages into three categories:
- Creature sounds: Messages emited by creatures.
- Item sounds: Messages emited while using a certain item such as Christmas Card.
- Messages triggered by different actions such as using a taming item on a creature.
Orange messages of type 3 may be part of quests or not. Since there are many of them, it would be too time consuming to try to make an exhaustive answer.