Here is the error message:

mkdir failed on directory /.../samba/var/cache/lck: No such file or directory
Could not initialise message context. Try running as root
Failed to join domain: Access is denied

The issue was fixed with the following patch, not sure if it is the best place to create the var/cache folder:

diff --git a/source3/lib/messages_dgm.c b/source3/lib/messages_dgm.c
index ae35282..d2f2f7b 100644
--- a/source3/lib/messages_dgm.c
+++ b/source3/lib/messages_dgm.c
@@ -226,6 +226,12 @@ int messaging_dgm_init(struct tevent_context *ev,
                return ENAMETOOLONG;
        }

+       ok = directory_create_or_exist_strict(cache_dir, dir_owner, 0755);
+       if (!ok) {
+               DEBUG(0, ("Could not create cache directory: %s\n", cache_dir));
+               TALLOC_FREE(ctx);
+               return EACCES;
+       }
        ret = messaging_dgm_lockfile_create(cache_dir, dir_owner, pid.pid,
                                            &ctx->lockfile_fd, pid.unique_id);
        if (ret != 0) {