As far as I know crows were never used as messengers as pigeons are simply much better. Ease of breeding, domestication, inability to escape (compared to crows) quickly come to mind.
Crows are insanely smart for animals and one experiment conducted by the military suggests that crows possibly taught their offspring how to recognize faces. They also have the ability to deduce the need to change the order of a complex sequence and have a very long memory.
If you were in a world without pigeons (though I remember Arya killing one a few episodes ago) I could see using crows, but in the end they probably just seemed cooler. And pretty much all news in Westeros is bad news so the Crow is more appropriate.
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