Changing address contained by structure and its members using function (ANSI C)

I want to do a constructor object-oriented-like function in C, but the address of my structure and its members are not being changed after I malloc() them. I saw this answer Changing address contained by pointer using function and I got an idea of what my problem is, but still can't solve it. Below is my code that is doing the constructor:

udp.h

typedef struct{
    int socket;
    char header[3];
    float *send_value;
    char *message_buffer;
}message;

void build_message(message **msg, int socket, char *header,float *send_value);

main.c

message *message_Ta = NULL;
build_message(&message_Ta, socket_cliente, "sta", &Ta);
sprintf(message_Ta->message_buffer, "%s0.0", message_Ta->header);

udp.c

void build_message(message **msg, int socket, char header[], float *send_value){
    *msg = malloc(sizeof(message)+sizeof(int)+sizeof(float *) + HEADER_SIZE + BUF_SIZE);
    msg->socket = socket;
    strcpy(msg->header, header);
    msg->send_value = send_value; 
    msg->message_buffer = NULL; 
    msg->message_buffer = malloc(BUF_SIZE);
}

Btw, I am using threads in these code, would this code be thread-safe even without mutexes? thx in advance