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The wizard casts Message and targets my druid that's currently a wolf.

Wild Shape mentions:

You can’t cast spells, and your ability to speak or take any action that requires hands is limited to the capabilities of your beast form. Transforming doesn’t break your concentration on a spell you’ve already cast, however, or prevent you from taking actions that are part of a spell, such as call lightning, that you’ve already cast.

Message states:

You point your finger toward a creature within range and whisper a message. The target (and only the target) hears the message and can reply in a whisper that only you can hear.

The druid can clearly understand the message. So far my DM has ruled that I can't reply because I can't 'whisper back' as a beast. We are curious to whether this ruling is correct.

In other words: by RAW, how important is the ability to whisper while replying to a message?

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As you reported, Wild Shape says

[...] your ability to speak or take any action that requires hands is limited to the capabilities of your beast form

Whisper means

to say something very quietly so that other people cannot hear you

A bear can neither speak nor whisper, hence your DM was right in this ruling. Moreover, the Sage Advice Compendium supports your DM's decision:

Can a Circle of the Moon druid speak the languages it knows while in the form of an elemental? Yes, since the elementals listed in Elemental Wild Shape can speak. A literal interpretation (RAW) of Wild Shape could reasonably lead you to think that transformed druids can speak only languages that appear in an elemental’s stat block, but the intent (RAI) is that druids retain their knowledge, including of languages, when they transform and can speak the languages they know if an adopted form can speak.

You can come up with a strategy to overcome this problem: you may decide with the other members of your group a sort of simple code for communicating via Message while you are wildshaped. For example, in the case of your being a bear, you can decide that a low growl means "yes", two quick low growls mean "no" and so on. This is up to you and mainly to your DM.

Another way is to wildshape into a raven (available at 8th level):

Mimicry. The raven can mimic simple sounds it has heard, such as a person whispering, a baby crying, or an animal chittering. A creature that hears the sounds can tell they are imitations with a successful DC 10 Wisdom (Insight) check.

Moreover, there are several animals\$^1\$ that speaks their very unique language: Giant Owl, Gian Elk and Giant Eagle. Problem is that the caster of Message should be able to understand those languages.

\$^1\$ Thanks to @Kogarashi Kaito for these further examples.

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    \$\begingroup\$ Some beasts have the ability to speak (quite litelally) a language: the Giant Eagle (CR 1), Giant Elk (CR 2), and Giant Owl (CR 1/4). Albeit the language those beasts speak is unique to their kind, a druid would be able to speak following the same logic of elemental wild shape \$\endgroup\$
    – Kogarashi Kaito
    Nov 5, 2020 at 15:03
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    \$\begingroup\$ I was saying, if a druid in a fire elemental form can speak the languages they know and not be limited to those of the elemental form just because that form can speak, the same can be said about the other beasts that can speak. \$\endgroup\$
    – Kogarashi Kaito
    Nov 5, 2020 at 15:46
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    \$\begingroup\$ @KogarashiKaito while I agree that the logic makes sense, it would still be largely DM dependant I think to determine whether the animal shape anatomically is capable of making the sounds required for a humanoid language. But the sage advice ruling of "if an adopted form can speak" does seem like it would apply to these beasts. \$\endgroup\$
    – smbailey
    Nov 5, 2020 at 15:54
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    \$\begingroup\$ @KogarashiKaito if you look at the Giant Owl's stats you can read Languages: Giant Owl , understands Common, Elvish, and Sylvan but can’t speak them. So they can not speak Common: I read this part as "thet are not able to speak" not as "they do not know Common". Animals can't make the same sounds than human(oid)s can do, due to physical characteristics (some of them does not have lips, for examples). \$\endgroup\$
    – Eddymage
    Nov 5, 2020 at 16:39
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    \$\begingroup\$ @Eddymage to be fair, that line is written that way in many monster stat block when a creature can speak at least one language, but then there is one or more languages that that creature can understand while not being able to speak it. Hence the difference between a giant owl (which can understand Common, Elvish, and Sylvan but can't speak them) and a giant vulture (which can understand Common but can't speak), mostly making the point that the giant vulture can't speak "at all". \$\endgroup\$
    – Kogarashi Kaito
    Nov 5, 2020 at 19:49

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