If that address is visible to you because I gave you access to my data, then yes.
If that address is visible to you because I gave it to you and you put it there by yourself, then no.
> Does it include your messages to me?
No. Messages I wrote to you are yours. I gave them to you. You can keep them. They get deleted when/if you ask for your account to be deleted.
> Does it include your posts that appeared on my feed?
Yes. My posts are mine. If I make them public or share them with you, you can look at them, copy them, do what you want with them (depending on the license). If I remove my account they get deleted from my account. If you made a copy for yourself, you can keep the copy.
> It's not clear to me how those are handled by the GDPR and at what point things sent digitally from you to me end being my property and no longer your property.
As always, ask a lawyer.