Erpnext.selling.doctype.sales_order.sales_order.make_delivery_note

The MandatoryError is telling you that obligatory values have not been provided.

Also, you cannot POST :

["message": { "_isLocal": 1, etc.,etc.}]

You must instead only POST

{ "_isLocal": 1, etc.,etc.}

In the other text you mention, ( How to create invoice from sales order using API - #7 by Albertus ), thats the purpose of the jq command:

jq .message ./freshFromTheOven.json > hotButtered.json;