In bus transports like MSMQ there is no central place from which multiple instances of an endpoint can receive messages concurrently. Each instance has its own queue so scaling out requires distributing of messages between the queues. The process of distributing the messages can be performed either on sender side or by a specialized proxy. Refer to the MSMQ documentation for more details regarding this particular transport.
The main difference when using broker transports (SQL Server, RabbitMQ, ASB and ASQ) is that queues are not attached to machines but rather are maintained by a central server (or cluster of servers). Such design enables usage of the competing consumers pattern for scaling out processing power. All instances connect to the same queue.