If you scroll to the bottom of your messages you will find a button labeled "filter messages". Click on it and you can pretty much filter out all messages depending on the options you choose.
Right side of your inbox is the filter. If people are passing the filter and going to requests, chances are they probably have warnings or something making them not eligible to go directly to normal messages maybe.
Little odd things, mysteries, like this are hints that we ARE in a simulation, (a bad one), with bumps and rattles and faults in the program of our pretend life that the novice programmer ignored giving us hell in minor incremental ways.