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Which phone? Which messenger - the one you use for SMS/MMS, Facebook Messenger, WhatsApp, something else?
I bet there’s a setting inside the app that allows you to change notifications for just that app, and I suspect it’s set to a silent notification tone.
Or the app may not have permission to send notifications. Go to Settings->Apps, then scroll through the list until you see the name of the messenger app. Tap on it, then tap Notifications and ensure the settings therein match your preferences.
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