"The sender is not in your contact list" with "Report Junk" in blue !

If you go to Settings>Messages, do you have Filter Unknown Senders turned on? If so, it is warning you that the sender of the message is not in your Contacts.

I have the same issue with contacts which are already in my Contact list. Appears all the time for some contacts when I am trying to reply from Lock Screen, doesn’t appear when I am in the Messages app

yes, I have it since always. The strange thing here is: it should not happen when a message arrives from one of my contacts. I will try to disable it, and I will check if the same thing happens after.

What exactly are you trying to do? Is this in mail or messages?

I have never seen anything written about this type of behavior. Do you have the Filter switch turned on? I realize you said these are people in your Contacts, just trying to check all options.