Your approach is almost correct. Please see https://www.shamimsplugins.com/docs/front-end-pm-pro/getting-started-2/role-to-role-block/. Select “To Role” to “All Roles”

Last part of that doc is

If you block for all roles, eg. You set “From Role” as “Subscriber” and “To Role” as “All Roles” and “Block For” as New Message” then “Directory” and “To” field will be hidden to “Subscriber” role users as they can not send message to any users.

If you set admin in Dashboard > Front End PM PRO > Settings > Recipient then users will be able to send message to those admins if they are blocked by these rules also.