Explanations of AI Agents' actions are considered to be an important factor in improving users' trust in the decisions made by autonomous AI systems. However, as these autonomous systems evolve from reactive, i.e., acting on user input, to proactive, i.e., acting without requiring user intervention, there is a need to explore how the explanation for the actions of these agents should evolve. In this work, we explore the design of explanations through participatory design methods for a proactive auto-response messaging agent that can reduce perceived obligations and social pressure to respond quickly to incoming messages by providing unavailability-related context. We recruited 14 participants who worked in pairs during collaborative design sessions where they reasoned about the agent's design and actions. We qualitatively analyzed the data collected through these sessions and found that participants' reasoning about agent actions led them to speculate heavily on its design. These speculations significantly influenced participants' desire for explanations and the controls they sought to inform the agents' behavior. Our findings indicate a need to transform users' speculations into accurate mental models of agent design. Further, since the agent acts as a mediator in human-human communication, it is also necessary to account for social norms in its explanation design. Finally, user expertise in understanding their habits and behaviors allows the agent to learn from the user their preferences when justifying its actions.