Private Message setting not working

I have the Private Messaging setting in the Companion App toggled on, so I should only receive direct messages from people I follow. People who are neither Followers nor Following are still able to send me private messages but I only see them appear on my laptop. They don’t show up at all in the Companion App.
I’ve also reported the particular user in this screenshot for stalking and harassment three times, and they’re still able to find my profile and try to contact me.