Hi, livelaughlaw.
Welcome to the Apple Support Communities. We’re glad you decided to reach out about the messages you’re receiving on your new iPhone SE. Enabled Filter Unknown Senders is a great feature. This allows you to disable notifications for those messages and moves them to the Unknown Sender tab in Messages; however, it won’t block them altogether.
If you have the option, tap the message and then “Report Junk”. This will automatically delete the message and forward it to our phishing team as outlined here:
Filter and block messages on iPhone - Apple Support
Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support
All our best.