Why do some messages just pop through while others come as requests??

Depending on your settings, it could be due to profiles or ages. Check your message settings and I think you will find out why they're filtered

I don't use any filters yet it sent one message to requests.

Thing is the person in question seemed to be a scammer or catfish anyway. Could be they are trying to filter those kinds of users without setting anything.

because of your settings. likely the ones that just come through are from people you follow/are friends with and or have messaged messaged with previously

Some that I’ve messaged with many times, have all of the sudden been going into the Request box

The request messages are from people who you have blocked or muted

Mine do that and I change settings, but after a few days it starts again.

Check your filters