Here's the step-by-step in case it helps the OP or any lurking players just reading the thread.
Quote:
613. Interaction of Continuous Effects
613.1. The values of an object’s characteristics are determined by starting with the actual object. For a card, that means the values of the characteristics printed on that card. For a token or a copy of a spell or card, that means the values of the characteristics defined by the effect that created it. Then all applicable continuous effects are applied in a series of layers in the following order:
613.1a Layer 1: Copy effects are applied.
613.1b Layer 2: Control-changing effects are applied.
613.1c Layer 3: Text-changing effects are applied.
613.1d Layer 4: Type-changing effects are applied.
613.1e Layer 5: Color-changing effects are applied.
613.1f Layer 6: Ability-adding effects, ability-removing effects, and effects that say an object can’t have an ability are applied.
613.1g Layer 7: Power- and/or toughness-changing effects are applied.
613.3. Within layer 7, apply effects in a series of sublayers in the order described below. Within each sublayer, apply effects in timestamp order.
613.3a Layer 7a: Effects from characteristic-defining abilities that define power and/or toughness are applied.
613.3b Layer 7b: Effects that set power and/or toughness to a specific number or value are applied.
613.3c Layer 7c: Effects that modify power and/or toughness
613.3d Layer 7d: Power and/or toughness changes from counters are applied.
613.3e Layer 7e: Effects that switch a creature’s power and toughness are applied.
613.4. The application of continuous effects as described by the layer system is continually and automatically performed by the game. All resulting changes to an object’s characteristics are instantaneous.
So when
Turn to Frog resolves on
Geralf's Messenger, here is the change layer-by-layer (note 613.4, this is all continuous and automatic).
Start: Geralf's Messenger is a 3/2 Black Zombie with Undying
613.1a Layer 1: Not Applicable (N/A)
613.1b Layer 2: N/A
613.1c Layer 3: N/A
613.1d Layer 4: Add Frog (lose Zombie): Geralf's Messenger is a 3/2 Black Frog with Undying
613.1e Layer 5: Add Blue (lose Black): Geralf's Messenger is a 3/2 Blue Frog with Undying
613.1f Layer 6: No longer a zombie, so no
Death Baron bonus. Then, in timestamp order, add Undying from
Mikaeus, the Unhallowed, then lose both instances of Undying from
Turn to Frog: Geralf's Messenger is a 3/2 Blue Frog
613.3a Layer 7a: N/A
613.3b Layer 7b: Becomes 1/1: Geralf's Messenger is a 1/1 Blue Frog
613.3c Layer 7c: Gets +1/+1 from Mikaeus, the Unhallowed (Non-human): Geralf's Messenger is a 2/2 Blue Frog
613.3d Layer 7d: N/A
613.3e Layer 7e: N/A
Final: Geralf's Messenger is a 2/2 Blue Frog with no abilities.