Hi there Chase95,
If you are still getting notifications from Messages while Sleep Focus is enabled, it may be because you do not have any people silenced in the Focus settings. The Messages app will usually use this setting as a priority over the 'Allowed Apps' section.
Go ahead and select 'People' and then make sure 'Allow Notifications From' is checked at the top. You can then add contacts that you wish to allow to notify you while Sleep Focus is enabled or leave the 'Add People' section empty so no notifications from anyone will come through while Sleep Focus in on. This has more information about Sleep Focus settings as well: Set up a schedule for a Sleep Focus in Health on iPhone
We hope that helps!