I still don't understand how messenger could put photos, in my photos. That's unsettling. I've uninstalled it.
Here's the way it works. Facebook messenger (or whatsapp or another app) gets a message with an attached photo. Your phone downloads it to let you view it. The Photos app is running in the background auto-backing up all photos for you (which is a good thing - that way, if you lose your phone, you still have your pictures!)
Now, here's the important thing. The first time "Photos" finds a new folder (from new application) to backup, it will prompt you asking if you want to back that up. If you say no, it won't back it up. If you say yes, it will back it up.
Open the photos app, and tap on the menu (top left - 3 stacked horizontal bars), select On device. You can now see the various locations. If the cloud icon on the right of each location has a line thru' it, it is not getting backed up. If it is blue and has an arrow pointing up, it is being backed up. Tap on it to toggle.
Hope that helps!