Hello BlackPink21,
There are a few things to check on that may be affecting what you're seeing.
Check to see if both devices have iOS fully updated to iOS 15.4.1: Update your iPhone, iPad, or iPod touch - Apple Support
Have yourself and the other person try the following as well:
1. Navigate to Settings > Focus
2. Turn ‘Share Across Devices’ to On if it is currently off.
3. Turn on one of the default Focus states, such as Do Not Disturb
4. Wait a few seconds, then turn that Focus state off
5. Check to see if the same message still appears
Note that if they don't use the "Share Across Devices" setting, and another one of their devices has a Focus state left on, such as an iPad or Mac, then that message may be displayed, even if the iPhone they're using doesn't have it on.
Cheers.