Has anyone received a message saying your phone is infected with a Trojan virus and immediate action is required?

Scams/phishing attempts are sent everyday by criminals and if you are naive you will take it seriously and that's what they want.

Ignore and delete and do not engage.

In addition to ckuan's comments, you may want to keep this support article handy:

• Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support