Hello Gareth
Yes, BGP messages are the payload of TCP segments. You can verify this by looking at any wireshark output of BGP messages. Here’s an example I found online of a BGP OPEN message. Notice that BGP rides on top of TCP:
BGP like many modern protocols adhere to the TCP/IP stack rather than the OSI model. In essence, the Session and Presentation layers of the OSI model are actually contained within the Application layer of the TCP/IP model. So to answer your question, yes, BGP, in the context of the OSI model, would still be considered an Application layer protocol.
I hope this has been helpful!
Laz