Any pictures on your phone that are not hidden (located in folders with a .nomedia file in them) will show in Gallery (opr any other picture app). Your pictures are probably in there, all the way down somewhere. But Messenger probably saved its pictures without putting a .nomedia file in the folder it's using. You can correct that manually (by creating a file named .nomedia in those folders), but you might have to root the phone to do it. (When something messes up, and it has to do with Facebook, it's almost always Facebook's fault.)