Nothing gets saved to Gallery - Gallery is an app, not a storage location. It shows all pictures on the phone, except those that are in hidden folders, or those that are in folders with a .nomedia file in them. (Yes, . is the first character in the name.)
If Facebook Messenger isn't hiding its stickers that way (hidden folder or .nomedia file), they're going to show. And that's Facebook's fault. But you can use a file manager app to create a file named .nomedia in that folder, then restart and you won't see them any more.