I have DND enabled and it still occurs. This happened with a previous phone, a WP Nokia and it was a bug and fixed. In my eyes, this should be bug in the Samsung software and also get fixed. It does not do this when plugged in!!!
I just started having this problem, decided to try Hangouts as my messaging app rather than the built in messenger app. Has anyone lost a message using another app? Hangouts does not back up to ATT so hoping it will help.