If you're using the Facebook app, tap Message Requests > Filtered. If you're on messenger.com, click Message Requests at the top of your messages list > Filtered.
You can view and respond to message requests in Messenger. When you get a message request, it'll go to your Message Requests folder in Messenger unless you add that person as a friend, in which case the messages will go to your inbox. Learn more about how message requests work and how to filter them.