I have been reading the documentation of this new SaaS offering, but I do not see any mention about being able to send a message to the device, eg: to switch ON/OFF an e
You can try using Settings there is a setting type called "Toggle". In order to implement it, you can go to your IoT Central Application from the Azure Portal. Then:
Go to Device Explorer tab
Select a device
If you are looking into doing it at scale you could Create and Run a Job
In IoT Central you can manage your connected devices at scale using jobs. The jobs functionality enables you to perform bulk updates to device properties, settings, and commands.