Good afternoon jafradondade,
Welcome to the Apple Support Communities!
Congratulations on the purchase of your iPhone 11 Pro!
I understand you are not hearing audio alerts notifications for messages when your iPhone is locked. In addition to what you have already mentioned above, let's check a few more settings:
Settings > Notifications
- Open the Settings app on your iPhone and tap Notifications.
- Scroll down and tap Messages
- Confirm Allow Notifications is enabled.
- In the Alerts section do you show a checkmark under Lock Screen?
- If not, please place a check mark under Lock Screen, Notification Center, and Banners to test
- Tap Sounds and confirm that there is a checkmark in front of an Alert Tone
- Tap the Alert Tone to confirm you can hear it, or choose a different Alert Tone if you wish
- If you wish to change the volume of the alert, tap Settings > Sounds & Haptics
- Quit the Settings app, and restart your iPhone
- Lock your iPhone and then ask someone to send you an iMessage to test
Settings > Do Not Disturb
In the middle of the screen, under Silence, is there a check mark after "While iPhone is Locked"
It states, "Incoming calls and notifications will be silenced while iPhone is locked"
Toggle the Do Not Disturb settings on and then off to refresh them.
Use notifications on your iPhone, iPad, and iPod touch
If the issue persists, try updating the iPhone to iOS 13.2. Then restart the iPhone to refresh it.
iOS 13.2 was release October 28, 2019. Update the iPhone to the most recent version of iOS to take advantage of the new features:
About iOS 13 Updates
"iOS 13.2 introduces Deep Fusion, an advanced image processing system that uses the A13 Bionic Neural Engine to capture images with dramatically better texture, detail, and reduced noise in lower light, on iPhone 11, iPhone 11 Pro, and iPhone 11 Pro Max. Additional features include updated and additional emoji, Announce Messages for AirPods, support for AirPods Pro, HomeKit Secure Video, HomeKit enabled routers, and new Siri privacy settings. This update also contains bug fixes and improvements."
Update your iPhone, iPad, or iPod touch
Please reply back to this thread if the issue persists after making these changes.
Take care.